By default, data fetched from providers is cached for performance for 1 hour. You can control this via the enableCache and cacheDuration plugin settings.
You may wish to disable Consume's automatic caching to use your own {% cache %} Twig tag to control caching at the template level.
{% cache using key 'my-data' for 1 day %}
{% set data = craft.consume.fetchData('myClient') %}
{% for item in data %}
{# ... #}
{% endfor %}
{% endcache %}