Default Save Location in Finder

When performing a Save As, why isn't the default save location the same as the original file? Instead, the Save dialogue box defaults to Desktop.

When working with multiple nested folders, it's irritating and a waste of time clicking through. Interestingly, not even the "Recent Locations" options are the location of the original file. This issue happens with Microsoft Word and Excel, but I think it's a Finder problem.

Is there any way to change that?