Dictionary application needs to download dictionary "Apple Dictionary" before use
The Apple Support article “How to free up storage space on your Mac” mentions:


  Other ways that macOS helps automatically save space
  
  macOS Sierra and later automatically takes these additional steps to save storage space:
  
  
  Detects duplicate downloads in Safari, keeping only the most recent version of the download
  Reminds you to delete used app installers
  Removes old fonts, languages, and dictionaries that aren't being used
  Clears caches, logs, and other unnecessary data when storage space is needed
  


While the article says “dictionaries that aren't being used”, I have the impression even recently used dictionaries get deleted if free drive space gets low.

I find this “feature” terribly annoying, as I’ve already found myself unable to consult Dictionary.app a few times while offline, but I’m not aware of any way to turn it off.