How to retrieve lost screen recordings in my MacBook Pro

I screen recorded using cmd/shift/5 keys. I completed and stopped the recording. I clicked on the recording icon and got the option to click "done" or the icon to share the recording. I mistakenly clicked the share icon (box with arrow out the top). It opened my messages app to send but the recording wasn't there in the message and then the option to click "done" and save the recording to my desktop was no longer available. Did I lose the recording entirely? It has to be somewhere? Thanks.

[Re-Titled by Moderator]