There is no backup option.
Now, if you refer only to source control, and not to work items, type in queries, builds, test plans, or anything else that the service offers, then I suggest you port your code to git.
With git, each developer will have a full copy of the source repository, including all commit history and comments. From there, the simple task is to move the git repository to another git host (e.g. bitbucket or github) and make them the new centrally hosted git repository.
In a historical note, Visual Studio Team Services at some point suggested exporting data over a period of time. You might want to add a vote or three to this related UserVoice idea to add value to this feature at Microsoft.
Side note. The business risks when using Visual Studio Team Services will be either from Microsoft terminating the Team Team Services Visual Studio service, or because the underlying Azure infrastructure has such a catastrophic failure that your Visual Studio Team Services account will not recover. Both of them have an extremely low risk and, most likely, are lower than the risks that you will have TFS in place, in your own data center, unless, of course, your infrastructure and personnel are better than Microsoft :-)
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