How are you syncing with iCloud? Are you syncing your Desktop and Documents folder with iCloud? Or are you storing documents on iCloud Drive?
Are you using iCloud with an iPhone or iPad as well?
To keep the cloud documents local, create a new folder "My Saved iCloud Documents" in your Home folder (but not in the Documents folder, if your Documents folder is syncing with iCloud.
Now drag all files and folders from iCloud Drive to the new "My Saved iCloud Documents" folder. This will remove them from iCloud Drive and save them locally on your Mac. Keep only the files and folders on iCloud Drive, that you need to keep there for other iCloud devices. If items need to stay on iCloud Drive, but you want a local copy, hold down the options key while you drag them from iCloud Drive. That will copy them instead of moving them.
Once you have saved all items locally, turn off iCloud Drive.