Tukukkk

I am using Entity Framework and want to do some changes in context class

For ex. I am creating one more constructor for connection string but issue is every time when I open .edmx file and save it, then my changes are no longer exist.

Is there any way for me to tell .edmx not to undo my changes in context class or T4 classes?

You cannot change the generated code. You can add things to it since the classes that are generated are partial classes.

Add your additions to a separate file containing the custom part of the partial class.

See here: https://msdn.microsoft.com/en-us/library/wa80x488.aspx

An alternative is to modify the T4 template yourself and consistently apply your specific needs to the generated classes.
It is common practice to do this when for example you want INotifyPropertyChanged as interface on every class.
This approach only works if your changes are generic in nature. If you want to do a specific change in only one class then this solution does not work for you.

Another alternative is to take full control of the classes by using code first.
You can mark the methods and properties with special attributes to map them to the db. And there is a reverse engineering option to create these classes from an existing db. You would reverse engineer once, and then take control of the classes and tweak them to your needs

I generally take the last approach myself right now, because it is not using partial classes all code that belongs to a class is all in the same file.

The answer of Maarten is also fine, but there are 2 more options.