Thanks to everyone that has been giving input,
I tried already changing the output database. but still it will not appear.
This is the process that I follow.
I open the raster to polygon tool, put in input raster, keep the value field, select the gdb file to output, and have simplify checked.
After this click OK, and in less than 5 sec. it will tell me that succeeded using the tool.
You can see the location of the file in the results window, but when the gdb is open there is nothing in there.