That a normal behaviour of WordPress.
Have a look to te template hierarchy template hierarchy.
To solve your matter, leave your file in the main folder of your theme (or child theme) or use a template_redirect or template_include filter, depending how you want to call your archive page, you’ll be able to redirect to another template file or include the file you want.
For instance, archive folder is not a folder that WordPress will detect when it want to load a template, you need to tell to WordPress, where is the file you want to load for your special query.
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