Why does Mark 15:34 say "Eloi, Eloi, lama sabachthani"? In all Christian Bibles the translators wrote this verse in the same language and translated it, (maybe it's Hebrew which I don't know) but why only Mark 15:34 in the whole, is it because when Jesus was crying He cried in another language?
The New Testament was written in Greek, but the Greek text records Jesus' words in Aramaic (in Mark, Hebrew in Matthew). The Gospel writers transliterated the Aramaic (Mk 15) and Hebrew (Mt 27) into the Greek script.

It is important here to distinguish between script and language. For instance, I can write in Spanish, Latin, German, English, etc. all with (basically) the same Latin script, even though the languages are all different. And likewise, I can take the Hebrew word אֶל and transliterate it into Latin characters, ʾel. The language is still Hebrew, but the script is Latin.

Short answer: It's Aramaic (or Hebrew in Matthew) transliterated into the Greek script. Since the text provides a Greek translation immediately thereafter, it makes sense that the translators would retain it.