The default folder for screen recordings on Mac is the Desktop folder.  If it’s not there, you can also use Finder > Go to navigate to this path: ~/Library/ScreenRecordings.
However, it’s easy to change save file locations and it’s also possible you moved the file inadvertently from its default folders. Try using the kind: and date: queries on Spotlight (for ex. kind:MOV date:today) or the mdfind command in Terminal to quickly find it.