All data deleted from my Fenix 5

If you mean the data files of old activities - why would you need old activities on your watch, when they are already sycned to your account? The watch has much smaller storage than what is available on the server, so the storage on the watch needs to be cleaned up to make room for new data. Or did you mean some other kind of data?

I mean old activities, all my runs/ bicycle and stuff. I want them because when I'm goint out I like to compare to my old measures and I'm not always with my phone. Is there any way to take them back to the watch ? 

I am afraid if you really want to keep all your old activities, there soon won't be any room for recording new ones, and you'll quickly run into problmes. Unless you have the 5X model, the standard Fenix 5 has 64MB of storage, which is not that big. Certain part of it, is taken by the system files, and another part is needed for common daily monitoring (HR, steps, motion, temperature, elevation,...). And another room is needed for maps, courses, workouts, training plans, schedules, etc, etc.

Of course, you can export the files in Garmin Connect Web in the "Original format" (FIT files), and put the files back to the folder //GARMIN/Activity/, but you should first check how much free room you have on the device, and whether there will be still room for a sufficient number of new activities and other data. I suspect though that you do not have much room free (possibly too much of unecessary stuff loaded to the device), and that's why your activities are being removed during the syncing, to make more free space.