Your accountant is correct. QuickBooks Online is a 100% web-based program. There is no data or company file that is on your computer and there is no "native" way to make a local backup of your data and keep it somewhere. Your company file is available from any computer that has internet connection.
If you feel you absolutely MUST have a local backup copy, you can convert your file to QuickBooks Desktop and make a backup of the desktop file. I don't recommend doing that though as it is a drawn out process and you would have to do it each and every time you want a fresh local backup.