Welcome to Android Central! You probably have some "Smart Cleaning" feature or app installed. Check your system settings in the Device Maintenance section to see if something is set to automatically clear out your Download folder every day. Or if you installed some 3rd party "phone cleaner" app (which is totally unnecessary, by the way), look in those settings.
If you want to keep this kind of Smart Cleaning active, then make a habit of copying or moving your downloaded music files from the /Download directory to some other directory immediately.