It's backing up to the backup drive you have connected to the computer. If you have no backup drive then it's creating backup snapshots on your hard drive. See:
If you don't have a backup drive then turn off Time Machine. To get rid of the collected snapshots:
Open the Terminal in the Utilities folder and enter or paste the appropriate command line. Press RETURN and enter your admin password when prompted. It will not be echoed.
To turn them ON: sudo tmutil enablelocal
To turn them OFF: sudo tmutil disablelocal
Note that turning them OFF will also delete all existing snapshots.