If you want to continue to have files sync to iCloud but also always want to have a local copy on your Mac, go to Apple menu > System Preferences > Apple ID and remove the check mark in front of "Optimize Mac Storage" just below the bottom of the main window on the right.
More information about that option in the excerpt below 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.