Actually, you should not rely on Office 365 only for data security, You can easily save your Office 365 data to PST files locally. You can go with the most suitable Export Office 365 tool by applying some short steps.
1. Download the tool and select the Office as Source and Outlook as the destination.
2. Select the data to export.
3. Enter the required credentials.
4. Select users and Export.

Here is one of the best tools to save your Office 365 data to PST file format i.e. Office 365 Migration Tool. The software is the most effective solution that migrates Office Mailbox 365 items including all the attachments. It provides the flexibility to save or back up your Office 365 mailbox items in multiple formats, such as PST, CSV, PDF, DOC, MBOX, MSG, HTML, JSON, and more. Furthermore, it empowers you to seamlessly transfer your Office 365 emails to various webmail email clients like Gmail, Yahoo, Thunderbird, IMAP, Zoho Mail, etc. You can try the full-featured trial version of the software to explore the performance.