That should be in your home with the name
Downloads unless otherwise changed by yourself or another user using your account.
That is a direct reference to Ubuntu default folders and can be changed by editing the file
~/.config/user-dirs.dirs with a text editor, using for example
# This file is written by xdg-user-dirs-update
# If you want to change or add directories, just edit the line you're
# interested in. All local changes will be retained on the next run
# Format is XDG_xxx_DIR="$HOME/yyy", where yyy is a shell-escaped
# homedir-relative path, or XDG_xxx_DIR="/yyy", where /yyy is an
# absolute path. No other format is supported.
This functionality is provided by the package
xdg-user-dirs installed by default in any Ubuntu flavor.