This is a bug in es file explorer and android
one work around is to print as a pdf file (if you dont need to edit) pref use adobe pdf and then it will give you options where to save, default is download, avoid this as it may not be moveable , just click on top left menu and you will have options to save to sd card or internal storage locations.
If you want other file formats not a pdf print then you will have to send to a pc via share by email, blootooth, LAN or via a cloud server like drive.
Once on a pc you can the release it from Android and then move it direct to your android desired folder of choice either by ideally usb or back through a cloud server under a different file code like mx doc or the original.
ES file xplorer used to allow it but they've fallen under Google control who want you to use their cloud drive, they detest people using sd storage and want control over all your data
1 for spying and information gathering
2 ultimately when enough critical mass of info is stored on drive, they can start charging you for it