No, they are requesting a drop-down menu option, or menu-bar option(not familiar with this software, but normally such options would go under the Edit menu), one that either opens a further drop-down with likely destinations(a built-in feature in Windows file manager of all places, some twenty years ago) or a whole pop-up dialog. If anything, they could stand to be more specific with their request, as they undoubtedly have a preference.

Don't confuse UI requests with underlying functionality and technical capabilities. Tell them their UI request won't be implimented for whatever(keeping things uncluttered maybe?) reason, but telling them their requested feature already exists is simply untrue, and leads them to believe you don't understand what they are requesting.

Based on your replies, they are not wrong, OP either doesn't understand, is being obtuse, or is just trolling them as OP has nothing better to do. Want to mock people for "wasting your time"? Don't be the one actively wasting their time AND your own.