Is your protein expressed into the media and you are trying to concentrate it from there? Or do you want to know how to concentrate already isolated (purified) protein?

A typical way is to use ultrafiltration. For large volumes, tangential flow filtration (TFF) is preferred. After the protein has been concentrated, you can use dialysis to change the medium. Alternatively, you can re-dilute the sample with the new medium and concentrate it again. For large volume samples, you can use diafiltration, using the TFF apparatus, to both concentrate and exchange the medium.

Another approach is to bind the protein to an ion-exchange column, wash it with the new medium, then elute it with a salt step to get a concentrated fraction, then dialyze out the salt (if necessary).

A third approach is to precipitate the protein from the medium using ammonium sulfate, pellet it in a centrifuge, then resuspend it in a small volume and dialyze out the ammonium sulfate.

Changing from one buffer to another with small volume samples can also be done using desalting spin columns.

As given above by Adam, others could be use dialysis bag and fill with protein solution and then put this bag in a beaker filled with clean sucrose crystals. It will concentrate the filled material.

some centrifuges are also there which are attached with suction pump, this will also concentrate proteins without destroying.