I guess I never close out of a file that way. Old-school habit, I hit File, Save As.

It may be dependent on what your default file location is. File/Options, select Save on the left bar, and check the default local file location found about 3 inches from the top. If it's going to your "Documents" folder, that may be preset in 365 to back up to the cloud (OneDrive). Mine is, and my Desktop is, but we save most of our documents to project folders on a shared drive.