I'm studying & developing Ethereum Platform There are approximately 5000 node servers in ethereum main net.
Is it true that data is saved in one of node server(block) and share it with other node servers? Or, in my client computer?
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you're right. The state is changed at some point on one of the nodes and then propagated to all other nodes (including your local node on your machine if it's syncing with the network).
If you're learning, like me, I suggest you to read this book : https://github.com/ethereumbook/ethereumbook, it helped me a lot.
Welcome in the Ethereum world and good luck !