It should save it. More details are needed to determine what is going on.
What exact version of Twine are you using? (Version number is visible in the lower-right of the main Twine window.)
What OS are you using? (e.g. Windows 10, etc.)
Do you perhaps have any "clean up" utilities that might have deleted your Documents\Twine\Stories directory?
Is there any chance you might have had more than one copy of Twine open at the same time or you have it installed in two different directories?
Anything else unusual you might have noticed when installing or using Twine?
If you open Twine, create a story, close Twine, and then re-open Twine, does that story stay there now?
Let us know the answers to all of the above questions so we can help you troubleshoot, since I don't think I've seen thaat error before.