Well when you teleport into the air (and you will at some point) you will gain downwards momentum, you'll then teleport back to the ground to save yourself from dying, but you'll still have the same momentum and you'll die a horrible, horrible death (That is if you haven't teleported into something and died already).

Enjoy dying everyone, I'll be at a beach drinking cocktails with my trophy wife.

Assuming teleportation ever becomes a thing, I don't think the conservation of momentum will be an issue.