When one password protects any document on the Mac, the usual interface for that also provides an optional remember the password in Keychain choice. If you selected that, you will never be challenged for a password while in your own account, and in that scenario, the document automatically unlocks, and the Print : PDF : Save as PDF would behave normally and as you expect.
If you did not check that remember this password in Keychain option when applying a password to a document, or were attempting to open a document that another user set the password on, then the operating system security, whether Mojave, Catalina, or Big Sur will challenge you for the password — before the Print… menu item would be made available to you.
If you open a PDF that has been encrypted with a password, and without that password being registered with Keychain, then you can do nothing to that PDF in Preview without entering the password.
I thoroughly tested this again this evening with the same document (and encrypted PDF) on Mojave, Catalina, and Big Sur — before my previous post, with and without Keychain password resolution, and I stand by this content, and my previous post. You must unlock the document before it the Print panel can be accessed, or a PDF can be annotated.