In reality, the data is still in the database (you can still see it if your blog publishes a public version of your profile that has the custom field data in it). But the danger is that if you save your profile via the 'Edit Profile' screen in MT's backend and you leave the custom fields empty, your data will be overwritten with the contents of the 'empty' fields.
Fortunately there is a solution: simply download and install this plugin from Endevver: https://github.com/endevver/mt-patch-user-profile-cf
After that, edit your mt-config.cgi file and add a line like this:
Note: increment the version number in that line to match your version, and keep doing this if you upgrade Movable Type to keep the plugin working if the issue is not fixed in future versions of MT in the 4.x series.