In ArcMap, ArcGlobe, and ArcScene, you can only create a single document type—a map, globe, or scene, respectively. These are all discrete units of work that are specific to those applications, and they all have different file extensions. In ArcGIS Pro, you create a project, which can contain several maps, local and global scenes, and layouts at once.
Items created in the project—such as maps, scenes, layouts, and reports—are saved within the project file (a file with the extension .aprx). Items such as geodatabases, toolboxes, and folders are external to the project. The project file stores connections to these items, not the items themselves.
Settings for map, globe, and scene documents are found on the ArcMap Options, ArcGlobe Options, and ArcScene Options dialog boxes, respectively. In ArcGIS Pro settings are managed on the Options dialog box.
Learn more about options for creating projects