Are you sure the file isn't simply misplaced ?
Try it again and make sure it's being saved in your /home/user-name directory
warning: I'm using an older version of Ubuntu and might be seeing a different file dialog box.
edit/ that file dialog box has a built-in 'gotcha'. It won't display a warning when attempting to save a file to a directory that isn't user writable. The file won't be saved in that case.