Using the recently introduced time-local formulation of the nonequilibrium cluster perturbation theory (CPT), we construct a generalization of the approach such that macroscopic conservation laws are respected. This is achieved by exploiting the freedom for the choice of the starting point of the all-order perturbation theory in the intercluster hopping. The proposed conserving CPT is a self-consistent propagation scheme which respects the conservation of energy, particle number, and spin, which treats short-range correlations exactly up to the linear scale of the cluster, and which represents a mean-field-like approach on length scales beyond the cluster size. Using Green's functions, conservation laws are formulated as local constraints on the local spin-dependent particle and the doublon density. We consider them as conditional equations to self-consistently fix the time-dependent intracluster one-particle parameters. Thanks to the intrinsic causality of the CPT, this can be set up as a step-by-step time propagation scheme with a computational effort scaling linearly with the maximum propagation time and exponentially in the cluster size. As a proof of concept, we consider the dynamics of the two-dimensional, particle-hole-symmetric Hubbard model following a weak interaction quench by simply employing two-site clusters only. Conservation laws are satisfied by construction. We demonstrate that enforcing them has strong impact on the dynamics. While the doublon density is strongly oscillating within plain CPT, a monotonic relaxation is observed within the conserving CPT.