downloading .pdf files

I regularly download .pdf files in Safari. When I click on the link, the file generally opens and I can read the contents without difficulty. However, when it is something that I then want to save and read without having to download it again, I go to the file menu and click on save as. The result is a file which can not be opened. The error message says "it may be damaged or use a file format that Preview doesn't recognize." My current work around is to copy the link, launch Firefox, paste the link and Firefox automatically saves the .pdf file which I can open.

I must have a setting wrong somewhere?