You can drag and drop your voice recording directly from the Voice Memos interface to your Desktop, or if you want to see the individual *.m4a recording files they are stored in:
~/Library/Application Support/com.apple.voicememos/Recordings
Click on your Desktop to wake up Finder, and then press shift+cmd+G keys to open the Go To Folder dialog. Copy/paste the preceding path in that dialog and click GO. The preceding folder location will open in a Finder window and your .m4a voice memo recordings will be present.
This is also true for Catalina and Big Sur users.