Is there any module to create a set of field without creating new entity field for each one? My objective is to have a module which gives me the option to create a entity field that can have multiple field values.

For example, the location module. It creates an entity field of type 'location' which can have a set of field values (country, province, city, address, etc.). In the database this module creates a table 'location' which stores all these values with a key 'lid'. The main entity field has a  'lid' value to connect with the set of values. And we are able to used tokens for all these field values.

I have tried Field Collection, Multifiefld, Composed Field modules, but none of those actually do this.
If the objective is to have one entity field that stores a primary key into a custom table schema, the answer is probably no. Location (and its associated Location CCK module) achieves this by its own widget form (via hook_field_widget_form) &amp; element type (via hook_element_info). It creates various processing functions to store the data in its custom data schema. I think such a module you're describing would need to dynamically generate data schema and hook callbacks to achieve what you're wanting.