Here's why:
* Save Data is Separate: Each game file in Pokemon HeartGold is independent. Starting a new game creates a fresh save file.
* No Transfer Feature: HeartGold doesn't have a feature to transfer Pokemon between save files.
* Trading is the Only Option: The only way to get your previous Pokemon into a new game is to trade them from a different copy of HeartGold to your new game file. However, this requires a second DS and a friend to assist you with the trade.
If you want to keep your Pokemon, you should:
* Continue your existing game: Don't start a new game file.
* Create a new game on a different save slot: You can create a new game on a different save slot on the same game card, but this will create a separate game with its own save data. Your original game file will remain untouched.
Let me know if you have any other Pokemon questions!