If you open the model you want to save, do a "Save As ->Save a Copy", there will be a drop-down menu where you specify the "Type" of file. Scroll through that list and you'll see all the output file types available. I don't see a ".dgn" file type in any of the types of files I suspect might be pertinent (Part, Assembly, or Drawing).
Thus, you have two options:
(1) Getting a .dgn file is not possible. This isn't any fun.
(2) To get a .dgn file, save to an intermediate format, and use another program to convert that file to what you need. Perhaps, for example, a STEP file may be able to be converted, or maybe you can input that format directly into the program you need data for.
