Windows store the files online on OneDrive instead of on disk.

Windows 11 sets the default documents folder to onedrive\documents.

[...]

Since I don't care about and have never intentionally used onedrive, I signed out of it. Flash forward six months, the files that I thought were on my computer (because I can go see them there in the folder) are in fact gone from my hard drive, and also Onedrive nuked them from orbit.