By design, exporting comments into Excel is not possible in OnDemand. That is most likely due to the varying amounts of data being copied into cells.
In any case, the recommended approach is to manually create a backup - you can then retrieve the data for safe keeping or it can be used to import into another JIRA instance for example.
This how-to doc should get you on the right path:
It started as any story starts, on a normal, rainy day. Admin meets App, and her name was Klok2, and like any first relationship we were both trying to make it work but neither one knew what...
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