This could happen for some different reasons.
· Play on incognito mode (it prevents the save file to get created)
· Have your browser settings marked as "not accept third party cookies (will prevent the creation of th file too.
· Delete your browser historic or cookies (deletes the save file)
· Run a Ccleaner or some program like this on your computer (can delete the save file too)

Hope it help!

(Btw someone send us a private message with this question and we deleted the message by mistake, sorry about that :S)