I may be wrong but it sounds like you are retrieving the database values as a
"secondary datasource" in InfoPath. If you started the from as a blank form
then added a Data Connection to query from your web service, then this is the
case. InfoPath doesn't save data in secondary datasources. Only the Main
datasource is ever saved to a file.

Depending on your scenario and why you need that data stored you have a few
options. If you create a new form "from a data connection" and connect to
your database that way, then any queried data is part of your Main datasource
and will get saved. That's the easiest way to have your data query saved. If
that does not make sense for your architecture, then you'll have to write
code to copy the data queried from your secondary data source into some
portion of your main data source.

I hope this helps explain further.