Edit conky configuration file, i.e. open in gedit from the terminal:

sudo -H gedit /etc/conky/conky.conf

This worked for me:

own_window yes

own_window_type normal

This worked too, but made desktop icons not visible at all or blinking

own_window no

own_window_type desktop

I have also modified conky to be movable by removing undecorated from:

own_window_hints