Firefox does not keep download history for private windows; that list is cleared. However, does Firefox delete files you downloaded to disk after you close a private window? Hmm... the help article "Private Browsing - Use Firefox without saving history," in the "What does Private Browsing not save?" section, says: "Any files you download to your computer while using Private Browsing will be saved." So the files might still be in the Downloads folder on that computer. Or is that where you already checked?

Basically, I was working on a sort of websites, when you are trying to open a file, it goes and start to be downloaded, and I can see it in the files explorer. I wasn’t saving it using the « Save As… » option. I was also checking the Temp files but i couldn’t find it. The second time I was trying to redo the same pattern, while opening the file explorer and seeing what actually happen, and the surprise is the file was disappearing after closing the window.

That's interesting.

Was it a PDF? As you know, some PDFs open in a new tab with a file:// URL instead of an http or https URL. Maybe those are treated as temporary and removed when the tab is closed?

Yeah it was a PDF file, and yeah it was disappearing in front of my eyes. Thank you for your help and assistance.