My MacBook Pro is deleting my files.

Hi! This sounds like a serious problem that needs to be addressed promptly. Here are a few steps you can take to troubleshoot and potentially resolve the issue:

1. Run an antivirus scan to check for malware.
2. Ensure you have enough free disk space.
3. Run Apple Diagnostics to check for hardware issues.
4. Keep regular backups.
5. Update macOS to the latest version.
6. Boot into Safe Mode to identify software issues.
7. Check the Recycle bin.

details on what to do for step n6:

Use safe mode to start up your Mac as it does the following things:

• Verifies your startup disk and attempts to repair directory issues, if needed
• Loads only required kernel extensions
• Prevents Startup Items and Login Items from opening automatically
• Disables user-installed fonts
• Deletes font caches, kernel cache, and other system cache files

Have you done a Spotlight search? Search with Spotlight on Mac - Apple Support

You don't need the full file name, you can search on parts of a name or the extension. For example if your concern is Word documents, search using .doc as the search criteria. Or .xls, .prg, .pdf and so forth.

If your files are truly gone, and you don't have them in a backup or on iCloud Drive, your problem is indeed likely greater than just lost files.

Do not install any Anti Virus, fixer, helper, optimizer or such apps. In fact, they can be the cause of your problem. If you have any of them, uninstall them all per the maker's instructions. Do that first.