Some functions switch between algorithms (typically convergent and asymptotic expansions) depending on the precision and the function arguments, and there may be ranges where the chosen algorithm doesn't work. The cutoffs should be such that, for a fixed function argument, you always get a precise result at sufficiently high precision. Indeed:
julia> C = ComplexField(2048)
Complex Field with 2048 bits of precision and error bounds
julia> besselk(C(10,0),C(511,0))
[7.273020821341838085942134079716006248677603685740815703343475360393849406397113138983655448129880380713329514474362135814581244320536267619377708988568445581752386539661e-224 +/- 2.11e-393] + i*0
This is not a strict bug as such, but it's behavior that could be improved...
Fredrik