Both the sensor and the app store data.
The sensor automatically maintains a backup of the most recent 20 days of readings, so while you are away from the sensor, it will continue to record the conditions. When the sensor reaches 20 days, it starts to overwrite the oldest data points.
Once the data is picked up by the app, then that data is stored indefinitely by the app on your mobile device.
Similarly, once the data is picked up by a SensorPush G1 Gateway (when a Gateway is used in conjunction with the sensor), then the data is stored indefinitely in the SensorPush cloud.