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I am working in ArcMap 10.2.2. I have a shapefile with line features which I labeled with some vb code. The problem is when I zoom out there are labels that disappear, I have around 4000 features but I don't know how to keep all the labels. I would like to create some DDP (data driven pages) and it is important that all labels are in the created maps. Any suggestions how to do this?

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I feel your question is poorly titled. Your features are labeled but you are concerned that at certain scales the labels are suppressed. The common way that this is acheived (to prevent clutter like @Hornbydd says) is by setting minimum and maximum scales at which those labels are displayed:

Label Dialog Box

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You can force all labels to display by changing the placement properties.

Go to layer properties > Labels Tab > Placement Properties > Conflict Detection and tick on Place overlapping labels

It will look a mess when you zoom out but then you get all labels.

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