For Visual Studio 2017, 2019 and 2022
This feature is still available, but it is NOT installed by default, you have to install it separately.
- From inside Visual Studio go to Tools -> Get Tools and Features
- Select the Individual components tab and search for Class Designer
- Check this Component and Install it

After finish installing this component
- Right-click on the project and select Add -> Add New Item
A. Search for 'class' word and NOW you can see Class Diagram component

Very Important Update From the Comments below
- Right-clicking on a folder and selecting
Add New Item
will NOT show the Class Diagram
option.
You could right-click on a project.
- Not every project type will support
Class Diagram
For example,
Right-clicking on Class Library
project will DO show Class Diagram
option in the Add New Item
dialog.
But Right-clicking on ASP.NET
project will NOT show Class Diagram
option in the Add New Item
dialog.