In physical changes, the quantity that is conserved is mass. The law of conservation of mass states that mass cannot be created or destroyed in a closed system during a physical or chemical change. Therefore, even if the shape, state, or density of a substance changes, the total mass remains constant.
Energy is also conserved in physical changes, but it can be transformed from one form to another. However, in the context of your question, mass is the most direct answer regarding conservation.