But if you define a system in a certain way, you can have non-conserved momentum. This occurs when some outside forces are involved that changes momentum of the system.
For example, you throw two rubber balls in the air and they collide 100% inelastically, falling to the ground upon collision due to gravity.
Considering the balls only, momentum is not conserved because there is gravity and it is not part of the system. Gravity is an outside force and therefore momentum is not conserved.