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You can't, unless you have an old video downloader on your phone already. Apple pulled all the video downloaders a while back and made them change how they work. But it's actually YouTube who wanted that because of copyright issues with music mostly.
This app will download. I tested it a few days ago by downloading a video from Facebook to my camera roll.
Video Saver Pro - Video Player for Cloud Platform by Nguyen T Nam Giang https://appsto.re/us/FVQ3-.i