There are different ways to deactivate your mobile data connection: 

• The simplest and most complete way to deactivate your data connection is to activate Aeroplane mode. In this mode, all wireless communication protocols are switeched off. Thus you won't be able to receive any calls or connect through WiFi or Bluetooth®. 
  To activate / deactivate the Aeroplane mode, go to (or ) Settings > More... and select the mode. Some devices have a shortcut in the status bar: simply press the icon   to activate the mode. You can also find this icon by adding a widget to your home screen.
• To deactivate only your data connection whilst leaving Blutooth and Wi-Fi available, go to  (or) Settings.
  Depending on your device, you may have a switch   Mobile data jsut push the switch to NO (in grey)
  If the is no switch, press More... > Mobile networks / 3G Service.  You then need to uncheck the Data enabled box. 
  On some devices, you will find a shortcut for Mobile data switch in the status bar or you can also add it on the home page via a widget.