This seems to be a common bug.
A workaround, as offered by someone on the Steam forums, is to not 'Continue' the bugged saved game, but, instead, select 'Play' in the main menu, and choose the correct saved game file there:
What I've noticed now, after logging on earlier, is that there was a
3rd .SAV file somewhere, connected to the server side of things. Most
times, 'Continue' loads the correct .SAV, except when a multiplayer server is
involved [..] It loads some
obscure, hidden .SAV file. I only have been able to find two .SAV files
in my asset tree; my BTZ.SAV and my COOP.SAV files. I'm assuming that
these are the files referenced when logging on. I'm assuming the
COOP.SAV file is my last saved game on log off, when you exit the game
environment with 'QUIT'.
When I logged on, I was presented with the 'Continue' menu choice;
doing so put me back some .SAV file when I was in a joined server; not
part of any save I wanted. Selecting 'Play' gave me the Campaign option,
which was my last correct COOP.SAV file. Selecting 'The Following' gave
me my correct .SAV file in that branch.
Once I entered the game environment and did some things, then quit,
I was presented with the correct .SAV file with the
'Continue' menu choice. So, for me, the take-a-way is to NOT choose
the 'Continue' play choice after engaging in MP gameplay; instead,
enter Play and then choose the correct .SAV point from either the Campaign
or The Following menu choices.