This sounds strange. I still guess MisterMe is right. How do you go to the Documents folder? Do you use the sidebar? Perhaps you should try to go Macintosh HD/Users/Your Account/Documents and have a look if the file is there. You should even do this when saving from Excel to make sure that you save to the right folder.
If all this doesnt work, I would use the Terminal to go to the folder and list all entries including invisible files to see if this reveals it.
This gives me an idea: what name did you give your file? You did not start with a dot, did you? This would make the file invisible for the Finder.