They're either stored on a OneDrive virtual folder or on a SharePoint "folder" (directory, more like), but in both cases, they're in the cloud, and linked to a specific account.
You need credentials and/or permissions to access them (in the case of a SharePoint folder).
You can download a local copy of a document for ease of use if you want to edit it with your local Word or Excel, then upload it back into the cloud if you want. If the document is shared with others, and they too need to edit it while you are doing that on your PC, there might be data corruption, though.
Those documents are meant to be created, edited, saved and shared online.