This option only shows up if:
- You are using your work MS account to sign into Office
- Your organization has granted you access to their Sharepoint resources
For the former ensure that, under Account, you are signed in using your work's MS account. Also ensure that under product information it shows as Microsoft 365 Apps for business
. If you are using a personal copy of Office then it may not be an option.
Additional go to Options \ Save and ensure the option show additional places for saving
is enabled. This impacts where you can save but might also impact opening.