Opening a new fiscal year does not delete previous year budgets.
Something else has happened - perhaps you cleared the budgets from the Edit Budgets function.

Importing budgets from CSV or Excel has a fiscal year that you set on the Defaults tab of the import template. You may have had the old fiscal year set, and you needed to change it to the new year.

The Budget Total that is displayed on the Edit Budgets grid is always for the Current year - it does not change to the Next year until such time that you close the current year. This is the way it works. The column editor for Edit Budgets is the same as for the Edit Accounts grid.