You need to highlight and save the Action Set (folder) to save it to .atn file... The Default Action set may be automatically or accidentally reset and it will then replace your custom actions stored within this set.
My advice is to create a brand new set, then drag your custom actions out of the Default Actions set into your new set.
Then save the new set to your drive and make a backup of the saved .atn file.
When it comes to actions it does not work as you may expect. It is not possible to select individual action or multiple actions and to save them. Instead you must select action set as already explained in order to make Save Actions available.