Do you mean files you have selected "open" rather than "save"?
This is because these are assumed to be temporary files that you would delete when done so it uses the safari download location which used to be desktop (and will still be if you upgraded rather than did a fresh installed). I've no idea why that is instead of sending them to /tmp, which would make more sense. So if you change the safari download location it should work.
You can also set "browser.helperApps.deleteTempFileOnExit" in about:config to get rid of them when you're done.