https://www.gamespot.com/articles/psa-make-sure-you-save-in-mega-man-11/1100-6462242/

Mega Man 11 is a retro throwback in a lot of ways, including one that may throw you off if you're not careful. It relies on a good old-fashioned manual save system, which means you'll lose progress if you absentmindedly turn it off or switch to another game before saving.

The save options can be found in the main boss menu, and the option appears after completing a stage or hitting the game over screen. It's easy to access and quick to actually save your game, so it's not too inconvenient on the whole. Still, it might surprise players who are more accustomed to the modern convenience of auto-saves.