Bot States

As with web apps, a bot is inherently stateless; a different instance of your bot may handle any given turn of the conversation. For some bots, this simplicity is preferred – the bot can either operate without additional information, or the information required is guaranteed to be within the incoming message. For others, state (such as wherein the conversation we are or previously received data about the user) is necessary for the bot to have a useful conversation.

As with web apps, a bot is inherently stateless; a different instance of your bot may handle any given turn of the conversation. For some bots, this simplicity is preferred – the bot can either operate without additional information, or the information required is guaranteed to be within the incoming message. For others, state (such as wherein the conversation we are or previously received data about the user) is necessary for the bot to have a useful conversation.

The context and the conscience

 Why do I need state?
Maintaining state allows your bot to have more meaningful conversations by remembering certain things about a user or conversation. For example, if you've talked to a user previously, you can save previous information about them, so that you don't have to ask for it again. State also keeps data for longer than the current turn, so that your bot keeps information over the course of a multi-turn conversation. 
 Storage layer
Starting at the backend, where the state information is actually stored, is our storage layer. This can be thought of as our physical storage, such as in-memory, Azure, or a third party server.
The Bot Framework SDK includes some implementations for the storage layer:
Memory storage implements in-memory storage for testing purposes. In-memory data storage is intended for local testing only as this storage is volatile and temporary. The data is cleared each time the bot is restarted.
Azure Blob Storage connects to an Azure Blob Storage object database.
Azure Cosmos DB storage connects to a Cosmos DB NoSQL database.
For instructions on how to connect to other storage options, see write directly to storage. 
Source:
 https://docs.microsoft.com/es-es/azure/bot-service/bot-builder-concept-state?view=azure-bot-service-4.0