It looks like you were syncing your Mac with iCloud and you have "Optimise Mac Storage" enabled. This will causing the videos to be removed from your Mac, when your Mac does not have muck free storage.
If you need the videos to stay downloaded while you are working with them, move them temporarily to a different folder on your Mac, for example the Pictures folder Movies folder. These folders are not syncing with iCloud. Then move them back to iCloud Drive, when you are done with them.
If all your iCloud files will fit onto your Mac, consider to disable "Optimise Mac Storage" so all iCloud files will remain mirrored as local copies and it will be easier to work with the them.