a strip of Mg burns in air, the mass of resulting residue is greater. explain in terms of conservation of mass

When the magnesium burns it forms magnesium oxide which has the added weight of the oxygen. There ha s been no weight added, it is just that the oxygen from the air has bonded with the magnesium.

I think density is the answer

Conservation of mass states no matter is created nor destroyed.
What is happening is Mg is bonding with O to form a bonded molecule. This "adds" weight to the final product.

Provided that ALL of the residue is collected, including the 'smoke' that evolved, then the Oxide (Mass of Mg + the Mass of O2), must be greater than the original mass of Mg.

If you calculate the mass of reactants versus the mass of products, you will find that the Law of Conservation of Mass has been Obeyed.

When you burn the Mg, the shiny metal becomes white solid.  That is a chemical change, meaning that Mg is no longer just Mg, the metal underwent a chemical reaction with air.

Air contains mainly nitrogen and oxygen.  When the Mg was burnt, Mg metal became mostly magnesium oxide and small amount of magnesium nitride.  Oxygen (or nitrogen) from the air was added to Mg.  You didn't gain or lose Mg, you simply put something else on it.  That's the mass of another element.

An analogy is that you have a piece of Lego, you add a different piece onto it.  The mass increases, but it is because of the 2nd piece:  Lego 1 (Mg) + Lego 2 = Lego 3 (MgO)
Lego 2 = oxygen

The properties of magnesium oxide (or nitride) aren't the same as those of magnesium metal, though.

When magnesium is burned it combines with oxygen from the air. If you weigh just the magnesium you are not weighing all the reactants.

2Mg+ O2--->2 MgO

The law of conservation of matter says that you can not create or destroy matter. In this reaction, you are combining 2 elements to form a compound.  If you weighed the oxygen used and the smoke released as well as the rest of the reactants and products, the weight of the reactants would equal the products. It is also important to have a balanced equation.