According to The Documentation On Select, it's stored on the server and not on the client:
The SELECT ... INTO OUTFILE 'file_name' form of SELECT writes the selected rows to a file. The file is created on the server host, so you must have the FILE privilege to use this syntax. file_name cannot be an existing file, which among other things prevents files such as /etc/passwd and database tables from being destroyed. As of MySQL 5.0.19, the character_set_filesystem system variable controls the interpretation of the file name.
And, more to the point:
The SELECT ... INTO OUTFILE statement is intended primarily to let you very quickly dump a table to a text file on the server machine. If you want to create the resulting file on some other host than the server host, you normally cannot use SELECT ... INTO OUTFILE since there is no way to write a path to the file relative to the server host's file system.
So, don't use it in production to generate CSV files. Instead, build the CSV in PHP using fputcsv:
$result = $mysqli->query($sql);
if (!$result) {
//SQL Error
}
$f = fopen('mycsv.csv', 'w');
if (!$f) {
// Could not open file!
}
while ($row = $result->fetch_assoc()) {
fputcsv($f, $row);
}
fclose($f);