Remove Documents Folder From iCloud, but Not Mac

I want to remove my "Desktop and the Documents folder" from iCloud but not from my Mac. I found some info that said if I go to System Preferences > iCloud > iCloud Drive options, then uncheck "Desktop and the Documents folder" that, that would do the trick. The problem is when I did that I was given this warning: "If you continue, items will be removed from the Desktop and the Documents folder on this Mac and will remain available in iCloud Drive." I don't want anything removed from my Desktop and the Documents folder on this Mac. I want to keep all that's in the Desktop and the Documents folder on my Mac only and not on iCloud Drive. Can someone help me with this?