Since nobody else has replied, I'll take a stab at this. I use Word 2008 and I assume that you're using Word 2011 but there may be some similarities.
It's possible that you're saving to the Cloud instead of to a folder on your hard drive. See if anything in OS X Mountain Lion: Create and save documents
rings a bell. If all else fails, contact Microsoft; Apple Support won't help you with a non-Apple app.
Welcome to FTM and good luck to you. Let us know how it goes.
macOS 10.15.5, iMac Retina 5K 27-inch, late 2014, 3.5 GHz Intel Core i5, 1 TB fusion drive, 16 GB RAM, Epson SureColor P600, Photoshop CC, Lightroom CC, MS Office 365