Matter changes state when its particles gain or lose enough energy to change how they are arranged. A solid turns into a liquid when it melts, and a liquid turns into a solid when it freezes. A liquid turns into a gas when it boils or evaporates, and a gas turns back into a liquid when it condenses. In sublimation a solid turns straight into a gas without becoming a liquid first.
In every one of these changes the mass is conserved. The particles are the same particles before and after. They are only rearranged and they move differently, so none are gained or lost. If 50 g of ice melts completely, you get 50 g of water. If 20 g of water evaporates, you get 20 g of water vapour, which is the same total mass even though it fills a much larger volume.
A change of state is a physical change. No new substance is made. This is different from a chemical change, where a new substance forms. If you reverse a physical change, the material recovers its original properties. Water that freezes and then melts is the same water with the same properties as before. If you burn a fuel, a chemical change, you cannot simply turn the products back into the fuel.