There is not an option to directly download this data from the UI. Depending on the specific data you're looking for, you can use the Insights API to query the data:
There is also the REST API option:
These are the two methods for accessing metric data externally. For Insights data, the only format option is JSON. Using the REST API you can get the data in both JSON and XML formats. When using the API Explorer, the default is JSON, but there is a drop-down option (at the bottom of each list of options) to select XML as the output.