Turning off icloud for reminders

I'm having an issue with disappearing reminders on my iPhone. One of the fixes online is to turn off iCloud for reminders and turn it back on. When I try to turn off on iCloud, the message that appears says "Delete from My iPhone". I used to have an option "Keep on My iPhone". I can't afford to lose all my reminders but also need to fix the disappearing reminders. Does anyone know why I don't have an option to keep reminders when I turn off iCloud reminders?

Thanks!