Collect files should be saving another copy of your project, unless you pointed it to the very same that your current AEP resides in and overwrote it (which should have also required confirming a dialog box).
Everyone should be in the habit of using Increment and Save often, as this creates a whole new file with a new version number, thus preserving your work-to-date. Ctrl+Alt+Shift+S on a PC, Cmd+Opt+Shift+S on a Mac.
Walter Soyka
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