Are you sure you made a drawing and not just trying to save the Part/Assembly as DWG?
In order to export as DWG or DXF, you need to make a technical drawing. Make use of the 'Make drawing from Part (or Assembly)' from the File drop-down menu. Next step is to make the technical drawing. If you finished with that, you are able to export that drawing as DWG or DXF, using the 'save as' options.