Most likely, you are only configuring the Release build, not actually building the project in Release mode.
Simply select “Release” mode from the drop down box in the toolbar, as shown in pic below:
or you can do the same thing from your project’s Properties:
Then when you will build the project (Ctrl+Shift+B), it will build in Release mode and place the output in the folder you have configured in Project properties. (Usually this is bin/release.)
If you still don’t see files in the release folder then as suggested by Gishu in the comments, check the Output Window while the build is in progress to see where the binaries are actually being created.