When you use SELECT ... INTO OUTFILE
the file is created on the server host.
If you are aware of that, the problem might be that mysqld is started with systemd and configured to use a private /tmp directory, in that case you'll find it inside /tmp/systemd-namespace-XXXXXX/
See http://fedoraproject.org/wiki/Features/ServicesPrivateTmp
And you are not finding it with locate, since updatedb doesn't store files located in /tmp.