How else should it even be possible? Obviously every browser needs to download it and 100 % too.

Yeah smarty pants obviously it has to download the data, but by default it shouldnt permanently store it as a file in your download folder. Files like this should go into a tmp file or only into RAM.

So like a web page.

Downloads it? Yes. Save as a file? No, atleast not permanently

It has to download any content it shows you, whether that's a web page, pdf, or anything else. It can't just magically know what to display without downloading it. Whether it stores it permanently is another question. Most browsers don't do this. If yours does there's probably a setting for that, or it's just a really bad browser.