Currently my device is in SM = 0 (no sleep) mode.
After the sending the API frame of AT COMMAND (changing from SM = 0 to SM = 1), I got AT COMMAND RESPONSE successful. To write it permanent, I send API frame of AT COMMAND “WR” and I got the modem status that my device is disassociated. I did not get the reason of it.
That is correct. When you change the SM command values, you tell it to change from a Router (SM0) to an End device (1 - 6) which requires a new association.
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Oh, means for that I need one coordinator near my end device to associate it.
Thanks it helps a lot 
I am implementing multi hop network using XBee, so after some initialization process I need to configure XBee in sleep mode. And coordinator near every end device is not possible.
Can you suggest me any other method to do it??
I am implementing multi hop network using XBee, so after some initialization process I need to configure XBee in sleep mode. And coordinator near every end device is not possible.
Can you suggest me any other method to do it??
Which XBee modules and firmware versions are you working with?
I am using XBee series 2 module and for router API firmware version 23A7
You only need one coordinator per network. Each coordinator support more than 32 K Routers and 10 end devices. Each router support up to 10 end devices as well.
Thank you very much, it helped a lot.