The installers are placed in the Applications folder, and the recent installers are all named Install macOS {version}.
Some users do relocate the installers elsewhere, and the bootable installers are inherently located elsewhere, though that location does not matter for the installation or upgrade.
It would appear that the installer download was corrupted, or incomplete.
Common culprits for weird problems are add-on anti-malware and anti-virus apps, add-on cleaner apps, and add-on VPN client apps.
Look around for an existing installer around, and then re-download the installer. Finder allows searches for filenames containing strings, and enter Install in the search box and select name from the drop-down. (I've had a few cases here were some old get was sitting on an external storage device somewhere, and download was stale or busted or otherwise, but the Mac App Store still found it.) Details > Narrow your search results on Mac - Apple Support
Failing the above... Boot into Safe Mode, and try the same sequence again. You may or will need to download the installer again. Safe Mode info > How to use safe mode on your Mac - Apple Support
You will want to use Safari (just) for accessing the kit download, if (when) you re-download it.
Download links >
How to get old versions of macOS - Apple Support
How to upgrade to macOS Big Sur - Apple Support