Turn off the Optimize Storage option. Apple menu > System Preferences > Apple ID > Optimize Mac Storage.
Note that even when that option is turned on, it is likely that many (or maybe all) of your documents still have a local copy on your Mac unless it is extremely low on space. See the following from Add your Desktop and Documents files to iCloud Drive - Apple Support
If you need more space on your device, iCloud Drive can help. On your Mac, choose Apple menu > System Preferences. Click Apple ID, then click iCloud. On macOS Mojave or earlier, choose Apple menu > System Preferences, then click iCloud. Turn on Optimize Mac Storage. Then your Mac keeps all of your recent files on your computer, but keeps your older ones only in iCloud, ready for you to download when you need them again.