cat-bgen is a tool to concatenate bgen files.
cat-bgen -g file1.bgen [file2.bgen...] -og concatenated.bgen
cat-bgen assumes the bgen files all have the same header information (i.e. they are encoded with the same version of the BGEN format, they have the same number of samples, etc.). It works by copying header information from the first file to stdout and then copying the data content of each file to stdout ignoring all the other headers. (Some checking is done to check that headers are compatible.)