I did a screenshot and also saved it, but I'm unable to figure out where it is. Looking into the official docs didn't tell me more and I also didn't find something quickly searching both the SE network and the whole internet. So this Q/A might provide an answer to the next person to be in the same situation.
To reproduce run xfce4-screenshooter, select anything

and click on Open with a program.

I chose Gnome Paint Drawing Editor, but this program also didn't (easily) tell me the location of the file. I failed save as but need the file.