Dear Kyrel Rosli,
Good day! Thank you for posting to Microsoft Community. We are happy to help you.
According to your description, my understanding is that you created the questionnaire in the Form and you want to open the questionnaire through the web version of Excel:
If the function button you mentioned looks like the one above, then downloading to local is the expected behavior. In Forms, if you need to view the response through Excel, you need to create and access the file through the client.
If you want to access the file directly from Web Excel, I recommend creating Forms for Excel in OneDrive so that you can open the file directly from Web Excel. The difference is that the Excel is created in a different order,using OneDrive creates Excel files directly:
Hope this will help you.
Sincerely,
Tin | Microsoft Community Moderator