Saving transparent Video After Effects

1. File > Export > Add to Render Queue

2. In the Render Queue choose High Quality with Alpha from the Output Module section

Rick suggested Lossless with Alpha which is an older preset but either preset should work.

H.264 does not support an alpha channel. Use the Output Module preset Lossless with Alpha, or you will have to export an RGB copy of the video and an Alpha Only copy in H. 264 and use the Alpha Only copy as a track matte for the original footage. 

Unless you have a good understanding of video format standards and compression, it is always a good idea to use the presets available in the Output Module via the dropdown menu in the Render Queue or in the Adobe Media Encoder.