An analysis is made up of one or more models. Without saving the analysis, you can’t save your collection of models. Select File > Save Analysis. This will save a .vpa file (Rapid Insight Analysis File).
An analysis file does not require that models be saved, it’s more accurately the collection of filters, transforms, and models you may have saved on a dataset in Predict.
You can also check the help manual for a definition of an analysis file.