In stateless protocol there is no record of the state is saved at server end.Client send request to the server and server response back according to current state. A stateless server does not keeps state between connections.So,When you send a request to a stateless server, it does not create any objects that track information regarding your requests.
ex.UDP , HTTP etc.
On the other hand in statefull protocol there is tight dependency between client and server . If client send a request to the server then it expects some kind of response, if it does not get any responce then resend request.A stateful server keeps state of connections.
ex.FTP , Talnet.
Even you can force to make stateless behave like stateful if need by keep data using session , cookies.