If you are using Firefox/Chrome/Instagram Web Viewer
Open the website in a different browser (Opera/Samsung Internet/Safari, etc.) and download.
There seems to be a problem with Firefox/Chrome on some phones.
If you’re using Instagram Web Viewer, click the three dots at the top right and select “open with..”.
Select any browser other than Firefox/Chrome.
Open your download folder in your image gallery or using a file manager. The wallpapers should be there.