There are only two times a file should ever turn into a poof cloud in Finder. One is if you've put it on the right side of the dock and then drag it off. The second is if you put it in the left-hand sidebar of the Finder window and then drag it off. When you do either of these things, you only remove it from the sidebar or the dock. You don't delete anything.
From where to where were you dragging this file?