Well, charge is conserved, too. That doesn't mean you can't create charges, it just means that you can't create a positive charge without also creating an equal negative charge to cancel it out. It's the net effect that gets noticed.
Similarly, it's been suggested that the total energy content of the universe is zero (the idea being that since the potential energy associated with gravitational fields is negative--and all positive mass/energy in the universe generates a gravitational field--it might just all cancel out to zero in the end). Of course, there's no shortage of other ideas that try to account for the big bang.