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Azure sql database has a automatic managed backup. But seems it can only restore to azure. (which will trigger some cost) Can I somehow download the backup file to my local computer directly?

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You cannot manage or access those automated backup files, only Azure service can manage them.

A workaround is to restore the database on the same managed instance or on a different managed instance. It will create a copy of the database. Export that copy of the database as a bacpac to an Azure Storage Account or to your computer using SQL Package utility, alternatively use SQL Server Management Studio (right click the database, click Tasks, select "Export Data tier Application ...") or you can use PowerShell. When finished, drop the database restored from the managed instance.

Finally, restore the bacpac to your local computer instance.