If I wish to turn off iCloud Drive, why does it state that it will delete all files off of my MacBook Pro? This is wrong!!! I had those files on my MacBook Pro before I turned on iCloud Drive.

Disabling iCloud Drive will not delete any file from your Mac. It says that it will delete those files stored on iCloud Drive from your Mac (they still will be available in any other device with iCloud Drive enabled), but not the ones stored locally in your MacBook Pro.

Turning off iCloud drive will remove all the files that are in iCloud Drive in your finder, files in iCloud Drive are copied to your Mac's hard drive, so yes turning off iCloud drive will delete the files from your Mac.

If you don't want them deleted from your Mac move them from the iCloud Drive to another location on your mac before you disable iCloud drive.

Just an add on to mende1's explanation:

iCloud Drive is mirrored on your Mac. For each file you moved or copied to iCloud Drive your Mac keeps a local shadow copy, so you can access the files and work with them, if you have no network connection. These local shadow copies will be deleted when you disable iCloud Drive.

Your Mac will no longer be able to access the files on iCloud Drive using the iCloud Drive icon in the Finder Sidebar.

Look at WC and Léonie's replies. To make sure you can access your files offline, iCloud Drive copies your files to a system folder. If iCloud Drive is the only place where your files are stored, you will lose them from your Mac (until you enable iCloud Drive again), but if you have those files stored in a different folder too (for example, Documents folder), those will remain untouched after disabling iCloud Drive.

If you have moved them onto iCloud drive from where they were before, they will be deleted. If you copied them to iCloud Drive from where they were, you have two copies, only one copy will be deleted (those in iCloud Drive)

The files were on my Mac before I turned on iCloud Drive, I do not want them deleted from my Mac.

Then drag the items you want to keep local to your Documents folder or wherever you want them back to your Mac - as WC recommended.

It's hard to believe that, but would you upload the screenshot here so we can have a look at it? Is this what you see?

If this is, there's nothing to worry about.