Backups can only go to a location accessible to the server.
Either a local drive on the server or a UNC path to a share on another machine. Failing that you would need to backup to the server then move the file somewhere else.
If your concern is someone getting hold of the backup file and getting the data out of it then you could look into implementing Transparent Data Encryption if you can't get the backup directly into a secure location.
Bear in mind that if people can see the server and thus the backup files on the server they can likely see the data files which they can just as easily read anyway so if you are a public server and data security is your concern TDE might be the way to go.