You can use NCBI Datasets for this. Specifically, you can install the command line tool on your server and download the genome directly there.

For GRCm39, you will want to download everything -- that includes the primary assembly with 19 autosomal, 2 sex chromosomes, and a bunch of unlocalized/unplaced scaffolds, as well as the mitochondrial genome. Mitochondrial sequences are not included in the 'primary assembly' so if you choose just the primary assembly you will miss that. You will want to download top-level sequences -- these are the highest assembled level of sequences. For GRCm39 only top-level sequences are provided by NCBI. Some useful definitions related to genome assemblies can be found here: https://www.ncbi.nlm.nih.gov/assembly/help/