I can't imagine the following claim.
Suppose we have a surface and a closed geodesic on it. If you try to keep the starting point and the initial direction of a closed geodesic but slightly deform the surface, it might happen that after the deformation the geodesic is not even closed any more!
Q1: How is that possible? any example?
A theorem about number of closed geodesics state that
Theorem (Grove–Gromoll): For any metric on the 2–dimensional sphere with all geodesics closed, the geodesics have all the same length.
Q2: What about Ellipsoid? Geodesics of Ellipsoid have all the same length?
Q3: It seems that existence infinitely many closed geodesics on sphere is an open problem. (Yes?) Does it this means that diffeomorphisms may not preserve geodesics? Isn't it strange? any example?
To start, note that the geodesics of the round sphere $S^2$ are exactly the great circles. All great circles are a) closed b) of equal length. This is should be proved in any text on differential or Riemannian geometry.
Q1) The sphere is diffeomorphic to any ellipsoid (see Diffeomorphism between a sphere and ellipsoid in $\mathbb R^3$.) which can have infinitely many geodesics which are not closed. Check out the images on this Wikipedia page.
Q2) The Wikipedia link in Q1) gives examples of geodesics on an ellipsoid which are not closed, and therefore the theorem of Grove and Gromoll does not apply here. As Ted says in the comments, it is trivial to find geodesics on an ellipsoid with different lengths (can just take the ones along the principal axes).
Q3) I do not know if this is an open problem, but it is not a consequence of Q1) and Q2).
Yes this means diffeomorphisms may not preserve geodesics, as in Q1).
No this is not strange; as Ted suggests in the comments, diffeomorphisms in general have no obligation to preserve Riemannian structure.