HTTP/2 is stateless.
Original HTTP is a stateless protocol, meaning that each request message can be understood in isolation. This means that every request needs to bring with it as much detail as the server needs to serve that request, without the server having to store a lot of info and meta-data from previous requests.
Since HTTP/2 doesn't change this paradigm, it has to work the same way, stateless.
It's clearly visible from official RFCs as well. It is stated:
The Hypertext Transfer Protocol (HTTP) is an application-level protocol for distributed, collaborative, hypermedia information systems. It is a generic, stateless, protocol which can be used for many tasks...
and the definition of HTTP/2 says:
This specification describes an optimized expression of the semantics of the Hypertext Transfer Protocol (HTTP), referred to as HTTP version 2 (HTTP/2)... This specification is an alternative to, but does not obsolete, the HTTP/1.1 message syntax. HTTP's existing semantics remain unchanged.
Conclusion
HTTP/2 protocol is stateless by design, as semantics remain unchanged in comparison to original HTTP.
From where confusion may come
An HTTP/2 connection is an application-layer protocol running on top of a TCP connection (BTW, nothing stops you to use HTTP over UDP for example, it's possible, but UDP is not used because it is not a "reliable transport"). Don't mix it with session and transport layers. HTTP protocol is stateless by design.
HTTP over an encrypted SSL/TLS connection, also changes nothing to this statement, as S in HTTPS is concerned with the transport, not the protocol itself.
HPACK, Header Compression for HTTP/2, is a compression format especially crafted for HTTP/2 headers, and it is being specified in a separate internet draft. It doesn't change HTTP/2 itself, so it doesn't change the semantics.
In RFC for HTTP/2 in section about HPACK they state:
Header compression is stateful. One compression context and one
decompression context are used for the entire connection.
And here's why from HPACK's RFC:
2.2. Encoding and Decoding Contexts
To decompress header blocks, a decoder only needs to maintain a
dynamic table (see Section 2.3.2) as a decoding context. No other
dynamic state is needed.
When used for bidirectional communication, such as in HTTP, the
encoding and decoding dynamic tables maintained by an endpoint are
completely independent, i.e., the request and response dynamic tables
are separate.
HPACK reduces the length of header field encoding by exploiting the
redundancy inherent in protocols like HTTP. The ultimate goal of
this is to reduce the amount of data that is required to send HTTP
requests or responses.
An HPACK implementation cannot be completely stateless, because the encoding and decoding tables, completely independent, have to be maintained by an endpoint.
At the same time, there are libraries, which try to solve HPACK issues, for example, a stateless event-driven HPACK codec CASHPACK:
An HPACK implementation cannot be completely stateless, because a dynamic table needs to be maintained. Relying on the assumption that HTTP/2 will always decode complete HPACK sequences, statelessness is achieved using an event-driven API.