1. A non-transitory machine readable medium storing a program for migrating firewall connection state data as a guest virtual machine (GVM) migrates from a first host computing device to a second host computing device, the program comprising sets of instructions for: receiving a configuration data set from a firewall service virtual machine (SVM) regarding how to migrate connection state data that relates to firewall rule processing of the SVM for a migrating GVM; receiving indication that the GVM is migrating from the first host to the second host; when the configuration data set is a first configuration data set, performing a first set of operations to gather the connection state data relating to the firewall SVM's firewall rule processing for the GVM; when the configuration data set is a second configuration data set, performing a second set of operations to gather the connection state data relating to the firewall SVM's firewall rule processing for the GVM; and transferring the gathered connection state data to the second host.