How can save the control values when session is expired?

The client page doesn't know when\if the session has expired so you can't easily do this. If your code is giving problems because they submit a form after a timeout, then you can grab the form data from the post and store it somewhere (in their new Session maybe), so that when they go back to the page the data is kept.

Or if you're more worried about people filling a form out then abandoning their browser, then you can use a timer on the client to instigate a "draft save" of the form via ajax every minute or so.

It'll help if you explain what your actual issue is, as the client knowing when the session has ended isn't a viable solution so you'll need to look for an alternative.