Files disappeared from Documents folder on Mac

I have a MacBook Pro and have certain files that I don't need to have on hand but want to still keep. So I saved them directly on the Mac in Documents, not in iCloud. However, now I am not able to find those folders. I found some of the documents on the downloads list, but not how I had it set up in Documents. Is there any way to get it back?? The documents folder appears empty except for a "Library" folder which says has 0 stuff and won't allow me to enter because I don't have permission.

This is making me not trust that I can keep files just on the computer without having them be in the cloud.