That's the confusion. Look, a command has this basic format:
$ command argument
When you are writing the 1st word and you hit TAB, that is completed as a command. So the shell will look in the directories in your $PATH for a possible completion. When you are writing the second word, the argument—which is often a file name—then hitting TAB tells the shell to look for possible file names to complete and in that case, it looks in the current directory.