It seems that the VDX format was abandoned in Visio 2013 and since that version the program no longer can save in the format.
If you truly need to make a .vdx file from .vsdx file, your only option would be to use some previous Visio version, like 2010. 3rd party software for this conversion is also limited, as Visio formats are rarely supported in programs other than the ones from Office.
However, VSDX is XML based much like the VDX, it just follows different schema, so check if you truly need your Visio drawing in VDX format at all.