When you say "I have always saved my 1040 files" do you mean that you saved them as PDFs or as .tax20yy files. It sounds like you are talking about PDFs, so we are assuming that that's what you mean.
It's not clear whether the PDFs of your tax returns were not saved, or they are just not where you expect them to be. It's also not clear whether your PDFs are missing for all past years, or just for 2014. TurboTax desktop has never saved PDFs automatically. You always have to take some action to save them yourself. There are many ways to do it. You can go to the Print Center and select Save As PDF, or select "Save as PDF ..." on the File menu (not the File tab). There are also a few places in the Step-by-Step interview where it gives you an opportunity to save a PDF. So if you are missing the PDF for 2014 it's possible that you just forgot to save it when you filed your 2014 tax return.
TurboTax never deletes a tax return file unless you specifically tell it to delete the file, and it never deletes PDFs in any case.
If PDFs that you previously had for past years are now missing, you might have accidentally deleted them or moved them to a different place. You could search your entire hard drive for the files. Also look in the Recycle Bin (in Windows) or Trash (on a Mac). The search doesn't look there.
Do you use OneDrive or any similar cloud storage? If so, it's possible that the files got automatically moved to OneDrive. Look there.
Some less likely possibilities are that some sort of maintenance operation on your computer moved or deleted the files, or that someone else who had access to your computer deleted them. In the last year have you upgraded your computer or operating system, moved to a new computer, used a utility to clean up your hard drive, or anything like that? Has anyone besides you used your computer?
