If you leave the UK, you can usually choose to move the money you’ve saved over to a scheme in another country, or leave it where it is until you retire. The money is always yours and you won’t lose it if you leave the UK.
If you want to transfer your pension savings overseas, the receiving arrangement needs to be a Recognised Overseas Pension Scheme (ROPS). A list of schemes that have told HM Revenue and Customs (HMRC) they meet the conditions to be a ROPS can be found here.
HMRC can’t guarantee these are ROPS or that any transfers to them will be free of UK tax. It’s your responsibility to find out if you have to pay tax on any transfer of pension savings.