How to display the footnote in the bottom of the slide while using \columns?

You can use \footnotemark, \footnotetext{<text>}; a little example:

\documentclass{beamer}

\begin{document}

\begin{frame}
\begin{columns}
\column{.5\textwidth}
Some text for the first column and a test footnote\footnotemark
\column{.5\textwidth}
Some text for the second column and a test footnote\footnotemark
\end{columns}
\footnotetext[1]{A test footnote in the first column}
\footnotetext[2]{A test footnote in the second column}
\end{frame}

\end{document}

In a comment it has been asked how to use the same footnote text for two footnotes, one in each column; here's a possibility:

\documentclass{beamer}

\begin{document}

\begin{frame}
\begin{columns}
\column{.5\textwidth}
Some text for the first column and a test footnote\footnotemark
\column{.5\textwidth}
Some text for the second column and a test footnote\footnotemark[1]
\end{columns}
\footnotetext{A test footnote for both columns}
\end{frame}

\end{document}

The most consistent way to do this is to keep the footnotes as they are but supply the [frame] option to them.

\documentclass{beamer}

\begin{document}

\begin{frame}
\begin{columns}
\column{.5\textwidth}
Some text for the first column and a test footnote\footnote[frame]{A test footnote in the first column}
\column{.5\textwidth}
Some text for the second column and a test footnote\footnote[frame]{A test footnote in the second column}
\end{columns}
\end{frame}

\end{document}