raj12345
I can only think of a antivirus/malware scan that you have on your pc that is causing this.
You may want to check if you have an antivirus running in the background, or a safety feature of your browser or browser extension that is preventing you from saving suspicious files.
Windows defender can also delete any files that it find suspicious in the background, you can turn the feature off or just ignore for that particular file.
Hope you get it.