After changing choice column type from multi choice to choice back I have lost all values

Changing from choice to text to choice is no issue. The problem is you went to multi-choice and presumably you selected multiple options for at least some of your items. When you went back to a choice field - unless you selected "can manually add items" - any values that did not match your list of choice values may have evaporated as a list of defined choices automatically excludes anything that doesn't match. If you did select "can manually add items", then it would have worked like virendrak​ showed with the combined values in a single field.

I'm not sure there's much you can do going forward to recover the data. In theory, you might be able to use the version history to restore a version of the list item from before you changed to multiple select. I would make sure to change the column either to pure text or "allow manual changes" just to make sure you don't recreate the same problem.