The fact is that linear momentum is conserved in all interactions. If you concentrate on the motion of a single body alone, that will not account for an interaction. When thrown above, according to the principle of conservation of momentum, what we can say is that “The total momentum of the ball plus the thrower just before throwing is equal to the total momentum just after throwing”

After that what happens is controlled by the force of gravity acting on it. The force acting on it can change the momentum. Here the interaction is between the ball and the earth. On account of the huge mass of earth, the motion of earth to compensate the motion of ball and to conserve the momentum cannot be detected.

However, the linear momentum is conserved in all events and interactions so far!

MORE EXPLANATION
Conservation of momentum is for a system of particles. The ball was thrown up by an external force. So, momentum is conserved only if the momentum of the body which threw that ball is also considered.
“The full statement of the principle of conservation of momentum is that, the momentum of a system of particles remains conserved, IF NO EXTERNAL FORCE ACTS ON IT.”
If we consider the thrown body only, it was
first acted upon by the force which threw the body up,
and afterwards the force of gravity acts on it though out its motion
So the conservation of momentum can be applied only if the body and the earth as a whole is taken into account. Otherwise the statement itself says, the momentum will not be conserved if an external force acts on it.

MORE EXPLANATIONConservation of momentum is for a system of particles. The ball was thrown up by an external force. So, momentum is conserved only if the momentum of the body which threw that ball is also considered.

“The full statement of the principle of conservation of momentum is that, the momentum of a system of particles remains conserved, IF NO EXTERNAL FORCE ACTS ON IT.”

If we consider the thrown body only, it was

first acted upon by the force which threw the body up,

and afterwards the force of gravity acts on it though out its motion

So the conservation of momentum can be applied only if the body and the earth as a whole is taken into account. Otherwise the statement itself says, the momentum will not be conserved if an external force acts on it.

Refer the link below for more information

Conservation of Momentumhttp://www.physicsclassroom.com/Class/momentum/u4l2b.cfm