When you say "you" here, do you mean "you" or the BOFH somewhere who controls the Exchange server? I stopped opening Lync at work because, among other issues, it wouldn't save conversations and I couldn't figure out how to make it do so.
Most versions of Lync/Skype for Business allow you to keep conversation history locally in Outlook. It's under Skype for Business> tools> options> Personal> check whether you have ticked “save IM conversations in my email Conversation History folder”. It can be disabled by the SfB admins though.
Newer versions do support server side logging to your Outlook mailbox too but it must be configured by the SfB and Exchange admins.