Sounds like you clicked "Delete account and profile." in the "Delete My Account" field. Please be sure you're using the "Export My Account" field. This will sent the following email.
Code:
This is a notice that your account USERNAME_HERE on SITE_HERE has been requested to be exported. Your exported data can be accessed at the following link.
URL_HERE
Clicking the link will export the data. It's done using a confirmation link on purpose for security reasons. Just allowing anyone with access to the account to directly export would be a security problem in a lot of countries.