Books does not use a single library file like Photos or Music, it stores your downloaded books individually in a folder deep in your user profile.
/Users/[username]/Library/Containers/com.apple.BKAgentService/Data/Documents/iBooks/Books
You can move the files out of there, but then Books will be unable to find them, and likely just download them again.
You could copy the entire "Books" folder out of there onto your external drive, and use a symbolic link to redirect the folder location to your external drive so Books saves future downloads on your external drive.
This requires a terminal command though.
ln -s [target_file_or_folder_in_external_drive] Books
something like:
ln -s /Volumes/nameofexternaldrive/nameoffolder Books