The 'Save As' function only really exists to allow users to change the file location. That's particularly important when viewing online pdf documents as they'll initially be held in a 'Temp' folder, which will automatically be deleted at the end of the browser session. So they need to be saved to a different location if they're to be preserved indefinitely.
To change pdf documents into other formats you need to use file-conversion software. If the target format is simply jpeg then the task is easy enough as several image-processing programs can open pdf files and then save them as jpegs.
However if the target format is a Word document, things can get very tricky as pdf documents don't contain the font information that word processing programs need, so any file conversion software has to try to work out what to use.