A family of Microsoft spreadsheet software with tools for analyzing, charting, and communicating data
Unless you change the iCloud Preferences everything you save to the Desktop or to the Documents folder is synchronized with a copy on iCloud Drive.
Create folders elsewhere on your local device & save to those folders by opening in the desktop program or move the file after downloading.
However, in the Excel web app if I use File> Save As - Download a copy... the default location is to the local Downloads folder. There is no other option offered.