This is a minimal working example of how we can prevent this behavior using the LaTeX built-in footnote options:

% Display footnote in a fullwidth frame
\documentclass{beamer}

% Theme choice
\usetheme{AnnArbor}

\begin{document}

\begin{frame}{Add footnotes in Beamer }{Multi columns frame}

\begin{columns}

\begin{column}{.5\textwidth}
    Some text for the first column and a test footnote\footnotemark
\end{column}

\begin{column}{.5\textwidth}
    Some text for the second column and a test footnote\footnotemark
\end{column}

\end{columns}

% using the footnote marks above inserted we can now
% write the footnote contents, and they will be displayed
% along all the slide
\footnotetext[1]{A test footnote in the first column}
\footnotetext[2]{A test footnote in the second column}
\end{frame}

\end{document}

Compiling this code yields:

How to display a footnote along all the slide while using columns
Two footnotes on different columns that are displayed as if it were a single-column frame.

This approach has the advantage of letting us reuse the footnotes for both columns. For instance, in the previous example, if we wanted to reuse the first
footnote of the first column in the second column, we could use \footnotemark[1] instead of simply \footnotemark.