The file object you are passing to the fillData method is something that you create with time stamp so it will create a file with that name in your workspace with the contents from your JTable.
The file you select using JFileChooser is only used to create a filewriter and to close it. SO it will create an empty file in the location you choose.
Try this change:
JFileChooser file=new JFileChooser();
file.showSaveDialog(this);
File save =file.getSelectedFile();
if(save !=null){
sht.fillData(tblCliente, save);
}
}catch(Exception ex){
ex.printStackTrace();
}