Mendeley stores your Mendeley library on the cloud. As such, your copy of Mendeley in different devices are automatically sync and updated as long as you are connected to the internet. Hence there is no real need to do a backup.
However, if you still wish to create a local backup, you can still do it with Mendeley. Just click on Help on the top of the Mendeley toolbar, and choose Create Backup. A zip file will be created and it will be your Mendeley backup file.
To restore backup, click on Help at the top of the Mendeley toolbar, and select Restore Backup and Other. Choose the file you want to restore and your Mendeley library will be restored.