Greetings UmitCelebi,
Hope you are doing well!
Many thanks for the prompt response! According to this article Getting started with the new Outlook for Windows - Microsoft Support Recently we don't have backup feature in new Outlook for Windows.

Kindly understand that The New Outlook is in a Preview state, and they are still working on the platform/foundation of the application itself. At this stage of the development, luckily, restarting the client is very quick. As an alternative, you can switch back to "Classic" Outlook by turning New Outlook Off. Then refer to Import and export Outlook email, contacts, and calendar - Microsoft Support for back up your email.
We are looking forward to your response! Please feel free to let me know if there is any question. I will keep assisting you based on the information you provide. We sincerely appreciate your patience and cooperation. Thanks for your precious time. Have a nice day!
Sincerely,
Inema | Microsoft Community Moderator