...It can change form, though. It can change state (solid to liquid, etc.) or it can chemically combine with other compounds and form new substances.
In the case of the alka-seltzer, when dropped into the water, it begins dissolving, and a considerable quantity of carbon-dioxide is released. Much of the carbon-dioxide collects in bubbles, floats to the surface of the water, and escapes into the atmosphere. Every bit of the matter in the original tablet is still there, but it's in a different form, and, in the case of the released gas bubbles, in a different location.