ArcGIS Pro uses geodatabases as the default way to import and save files, but sometimes you just want the old fashion esri shapefile to share with thirdparty platforms or even with ArcMap Desktop. To save a shapefile in ArcGIS Pro you need to export it, which you can do through the rightclick export feature, there you need to make sure that you choose a folder output location or you will not be able to save it as a shapefile. Finally, you can choose the name of your file and add the file extension .shp