Use carriage return with copy in PostgreSQL

I am trying to do a COPY from psql, but I need to use the carriage return,
I understand that for LINUX servers by default it is used \n and in windows
it is \r, this I am trying to do on a server with CentOS 7 and
postgreSQL-11, the little test I'm doing is the following:

postgres=# COPY (SELECT C1 FROM (VALUES ('TEST one\r\n' ), ('TEST
two\r\n'),('TEST Three \r \n')) AS t (C1)) TO '/home/postgres/demo.out';
And the result is the following:

TEST one\\r\\n
TEST two\\r\\n
TEST Three \\r \\n
In my opinion, this result or output of the copy process is wrong, or if it
is the opposite, I hope you can help me, thank you!