Can't make a local copy for editing of a layer downloaded through ArcGIS online

Dear everyone,

I'm fairly new to ArcGIS, so this is probably a stupid question with a simple solution. Please help me find the simple solution! I downloaded a few layers through ArcGIS online and would like to create a local copy for editing. However, I receive the following message "Unable to create local copy for editing. An associated feature service or geodata service is required and admin connections are not supported for feature services." I'm not sure what it means and how to resolve it.

Thanks!