A document is a piece of paper, or a booklet, which contains information. But in English, it is not the real-life film which is based on facts. That is a documentary, or if you like, you can say documentary film.
Even the verb we use with them is different – we ‘look at’ documents and we ‘watch’ documentaries. So to say, „I love watching documents“ sounds a little bit strange.
Also note that we use the preposition ‘about’ to refer to the subject of the documentaries, so we would say, „I love watching documentaries about nature.“
