air core transformer design
What is happening is you are approaching the natural resonant frequency of the transformer. All coils have some small amount of parasitic capacitance to ground, which forms a resonant tank. If you continue to increase the input frequency, you'll find that the output peaks at some point and then rolls off above that frequency. The peak point is the resonant frequency of the system.
If your function generator only goes up to 2MHz, you can verify this by simply connecting more capacitance across the secondary of the transformer, say 500 or 1000pF, then run another frequency sweep. You'll find the resonant freq has decreased proportional to the increase in capacitance.