It would appear you have the Finder assigned to a specific Space. Right click it & see what it says in Options [as in the picture below, it will only show a specific number if it is assigned to a Space you're not currently on - otherwise will just show All/This/None]
The quickest way to carry any file to another Space is to hold it then invoke the key command for the Space you need - by default Ctrl ⌃ [num]
This also works for any Application window.
The key commands are automatically added each time you make a new Space, but are not switched on by default. System Prefs > Keyboard > Shortcuts > Mission Control to enable...
Also, by default, the number keys are those above the QWERTY part of the keyboard. If you wish to use a 10-key instead, you must replace the default key combis with ones using the 10-key [this is not obvious as they both look identical but are responded to individually]