Select the Export option from the File menu OR press Ctrl/Cmd+Shift+E on your keyboard. (Page size may need to be set for A4 sized pages first.)
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Check the Figures option in the Export Dialog.
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Check the VSDX option in the Figures dropdown.
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​Note that the export dialog only shows the options applicable to your current application content.
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Click the Export button.
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Choose where and how to save your export file(s) using your operating system's save dialog.
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​Note that any and all of the available options may be selected for export in a single operation. Multiple documents will be exported as a single a compressed (.zip) file.
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To get all of the benefit of the Visio Export feature, users who open the Visio file will want to download the font used in the exported file.