Hi Shahd,
In electron capture, an atom "captures" an electron. This electron (neg charged particle) binds with a proton (pos charged) to form a neutron (neutral charged particle, because -1 + 1 = 0).
So, initially we lose a proton because the captured electron binds to it (decreasing the atomic number, hence converting Xe-125 to Te-124). But, a neutron is also formed which compensates for the decreased mass due to the proton loss (hence, Te-124 turns to Te-125).
Hope these help!