How does a physical change obey the law of conservation of mass?

Let's consider water.
Regardless of what form it turns into, the mass should remain the same.
It's the same H20.
Add some heat and it becomes water vapor,
cool it down a bit and it becomes ice.
if you make it just right, it becomes water again.

A chemical change would involve the one or more element(s) changing into a different solution all together.
It cannot be reversed unless you use electrolysis or some other method.