Coniferous trees that are evergreen keep their leaves to preserve water during the winter and through droughts. Many coniferous trees are found where the winters are cold and the ground freezes. Once the ground is frozen, groundwater is no longer available to the tree.
The leaves of coniferous trees tend to be thin and numerous, and their cells are packed closely together. This results in less surface area on the leaves from which water can evaporate. Also, during the winter, there's less of a risk of the water between the cells of the leaves freezing and damaging them. Conifer leaves are also encased in a waxy material that keeps water in. They also have fewer stomata than the leaves of deciduous trees, which also cuts down on evaporation.
The shape and number of the leaves of coniferous trees not only help them conserve water, but allows them to perform photosynthesis even in shady habitats that would be problematic for many broadleaf trees. However, even coniferous trees don't hold on to their leaves forever. Their leaves do drop and are replaced, but not all at the same time.
Not all coniferous trees are evergreen. The larch is a conifer that loses all of its leaves in the winter.