Greetings, and welcome to Apple Support Communities djdjd8888nashville!
You've mentioned that your archived mail disappears, and have been unable to find it any folders.
If this is the Mail app that came with your Mac, use this guide to make sure you're able to see the Archive folder: Archive email in Mail on iCloud.com This shows you how to make the sidebar visible to help you view them.
Happening with specific mail app like with an Gmail, iCloud or Outlook account? We'd suggest contacting the developer for further assistance. Here's how: How to contact an app developer They'd have more information on their app and how it's used with the account.
We hope this helps!