If you close a file without saving it, the AutoRecover file will be deleted because Office assumes that everything is ok and the AutoRecover file isn't needed.
On Mac's, Office stores the autorecovery files in these locations. Open Finder and browse to these locations
For more information and a step-by-step guide, see Recover files in Office for Mac
To learn more about the Office 365 Autosave function, see What is AutoSave?