In the standard functionality, the closed stages "Closed-won" and "Closed-lost" are hidden. By default, only open leads are displayed. In order to select all the steps, you need to go to "Search and Filter", and highlight all the statuses. Then click on the icon "three dots" = "More." Select "Export".
After that you can export all the leads that you have in your account (you need to download 500 files per file, if you have more than 500, then you need to click on the pagination numbers).