SonarLint analyzes the code and generates the report fine within it's SonarLint Report window. However, I am not able find any option to extract/export this report.
I also tried looking for any setting in the preferences but could not find any.
I asked this question on official SonarLint forum and got to know that it is not possible. Suggested to use SonarQube / SonarCloud tool for reporting purpose.