The momentum is conserved in the collision.
Work Step by Step
Let's consider the system of the golf club and the ball. Just before the collision, the golf club is moving forward and the golf ball is at rest. During the collision, the golf club exerts an impulse on the ball which gives the golf ball a forward momentum. The golf ball exerts the same magnitude of impulse on the golf club in the backward direction and this slightly decreases the forward momentum of the golf club. Since the net impulse is zero, the momentum is conserved in the collision.