The saved query still exists, and you can view and use it again from within the Select Query dialog box. (See Adding a saved query to an Explorer for information.)
If you no longer want the saved query to reside in the database, choose Delete instead. Note that Delete is not available from the Tasks explorer context menu.
Note that you can cut a default saved query, such as My Project Groupings or Build Management Project Groupings, but you cannot delete it.