To a lot of users, this is a great feature. When Safari downloads a .zip file, it automatically un-compresses the file when the download is finished but the .zip file is then no-where to be found. Sometimes you just don’t want Safari to do this.
There’s a simple way to stop this. If you would rather Safari just download the .zip file and leave if for you to decide what to do, go into the Preferences and simply un-tick the option Open “safe” files after downloading.