Why does deleting emails in zoho mail also deletes them in CRM?

Why does deleting emails in zoho mail also deletes them in CRM?

I use Zoho Mail as well as Zoho CRM and would like to be able to save emails in the CRM, but not necessarily in the mail app.  Is there a setting I could change in the mail app that will allow me to delete the emails in that app and still have them saved in the CRM?  I imagine there is, however I am not sure how I would do it.