When a substance melts, freezes, evaporates, condenses or sublimates, it changes state. The particles change their arrangement and how they move, but no particles are lost or gained. This means the mass is conserved: the mass before the change is exactly the same as the mass after it.
Sublimation is when a solid changes straight into a gas without becoming a liquid. Mass is conserved in this change too. For example, 250 g of ice that melts completely makes 250 g of water. The volume and density can change, but the mass cannot.
Mass only seems to change if particles escape. If water evaporates in an open dish, the mass reading decreases because the vapour escapes into the air. In a sealed container the vapour cannot escape, so the mass stays the same. A data logger connected to a balance can record the mass as a substance is heated and changes state.