Welcome to Android Central! I assume you already used your Files app to look in the /Download directory, and didn't find it, correct?
Some apps annoyingly create their own download directory, which can be tricky to find. Using the Files app's Explore function, explore the Internal Storage and look for the Facebook data directory. It might be a subdirectory of the /Android directory. You might also have to use a 3rd party file manager to access it -- try Total Commander.