Orthologous genes are highly conserved between closely related species and biological systems often utilize the same genes across different organisms. However, while sequence similarity often implies functional similarity, interaction data is not well conserved even for proteins with high sequence similarity. Several recent studies comparing high throughput data including expression, protein-protein, protein-DNA, and genetic interactions between close species show conservation at a much lower rate than expected. In this work we collected comprehensive high-throughput interaction datasets for four model organisms (S. cerevisiae, S. pombe, C. elegans, and D. melanogaster) and carried out systematic analyses in order to explain the apparent lower conservation of interaction data when compared to the conservation of sequence data. We first showed that several previously proposed hypotheses only provide a limited explanation for such lower conservation rates. We combined all interaction evidences into an integrated network for each species and identified functional modules from these integrated networks. We then demonstrate that interactions that are part of functional modules are conserved at much higher rates than previous reports in the literature, while interactions that connect between distinct functional modules are conserved at lower rates. We show that conservation is maintained between species, but mainly at the module level. Our results indicate that interactions within modules are much more likely to be conserved than interactions between proteins in different modules. This provides a network based explanation to the observed conservation rates that can also help explain why so many biological processes are well conserved despite the lower levels of conservation for the interactions of proteins participating in these processes.Accompanying website: http://www.sb.cs.cmu.edu/CrossSP.