Because you still have iCloud sync still turned on and/or that was the last destination you used for Save As: in Pages.
As @neuroanatomist posted earlier, when you go to turn off iCloud sync, select the "Keep a Copy" and the Desktop and Documents files will be copied back onto and remain on your Mac.
As for Pages saving, you can always select a different save destination by clicking the double arrow there and choosing a new location from the sidebar or navigate to the appropriate folder. Even if you have iCloud sync turned off, you may still use iCloud Drive as a storage location if you like. If you want to do that, then choose that as the destination for your Pages (or other app) documents.
