I do know that Javascript cannot write data in the filesystem, for security reasons. I have often read that the only way to save data locally with Javascript is cookies or <
I think it's important to clarify the difference between server and client in this context.
Client/server is a program relationship in which one program (the client) requests a service or resource from another program (the server).
Source: http://searchnetworking.techtarget.com/definition/client-server
I'm not sure you'll find too many advanced applications that don't have at least one server/client relationship. It is somewhat misleading to ask to achieve this without any server, because any time your program speaks to another program, it is a client/server relationship, with the requester being the client and the response coming from the server. This is even if you are working locally. When you want to do something outside of the scope of the browser, you need a hook in a server.
Now, that does not mean you can't achieve this without a server-side specific language. For example, this solution uses NodeJS for the server. WinJS has WinJS.xhr, which uses XmlHttpRequest to serve data to the server.
AJAX seeks to offer the same sort of functions. The point here is that whether you have a program or there is some sort of hook pre-built, when you issue a command like "save file" and the file actually gets saved, there is a program on the other side that is parsing it, whether it's a server-side language or something else, meaning you can't possibly have something like this function without a server to receive the request.