I would not recommend having a single object type with thousands of frames in it. Instead I would recommend using multiple object types each with a reasonable number of frames (ideally at most hundreds). For example in a card game if you can have 100 different styles of deck, and each deck has 52 cards, then 100 object types each with 52 animation frames is better than one object type with 5200 frames. You can add multiple object types to a Family to avoid having to make separate events for them.
The reason for this is as described in Memory usage in the manual, Construct's memory management only loads or unloads entire objects with all their animations and frames. If you put everything in one object type, your only option is to have absolutely everything loaded in to memory, or nothing at all. With different object types, it can load only the things you use. Continuing the previous example, if you only use up four styles of deck at a time, then with separate object types Construct can ensure only 52 x 4 = 208 animation frames are loaded at a time. If you put everything in a single object type, it must load all 5200 frames, which will use 25x as much memory.
There won't be a significant difference in download size though, if that's what you meant by storage space.