I made a fire. I tried to export with .FBX but the thing is it just come out like the position when I saved. There is no animation or such.
The only known supported format for particles is alembic cache (.abc) which can be loaded as package. As stated on the unity page, it does support particles and possibly animation: https://docs.unity3d.com/Packagesfirstname.lastname@example.org/manual/index.html
Whenever possible though try using the native system instead of a loaded cache as this may be far more versatile in various scenarios.