At the conclusion of a match, there is the option to save a replay of that match. These files are saved to the following location and are typically ~1.25 MB in size.
%USERPROFILE%\Documents\My Games\Rocket League\TAGame\Demos
Replays can be opened through the "Extras" option on the main menu, and are displayed in chronological order.
The files have a *.replay extension, and cannot be directly converted into videos. They instead contain data for the game to recreate the match replay whilst running the game in replay mode. To create a video, use a screen recording or game recording software (e.g. FRAPS, ShadowPlay, etc.) while playing or watching in replay mode.