So is there any way I can avoid this DC voltage loss.?
Wire has resistance. [u]Ohm's Law[/u] says when you have current through resistance you have a voltage drop.
Smaller wires (higher gauge) and/or longer wires have more resistance and therefore more voltage drop with a given current.
That's all physics and nature... You can't "avoid" the voltage drop, but you can minimize it (with fatter wire) or compensate for it.
Normally, wires runs are short-enough or the wires are thick-enough that the resistance is nearly zero and we can ignore it.
You can also get "excess" resistance where you have terminations/connections. So, double-check your connections.
Have you checked the voltage at both ends with the solenoid powered-up to make sure the wire is the problem? The actual power supply voltage may be dropping when the solenoid is switched-on.
You can simply increase the voltage to compensate for the drop. (If you have multiple solenoids at different distances, that may not be a good solution.)
Or you can use a (slightly) higher voltage at the controller-end and stick a voltage regulator at the solenoid-end. (With multiple solenoids, you'd need a regulator at each one.)
Or as gpsmikey suggests, you can move the power supply (and transformer, MOSFET, or relay, or whatever you are using) to the far-end near the solenoid.
But u know it will be difficult to insert it in arduino female header
Hopefully, you are not trying to run the solenoid directly from the Arduino... A small wire from the Arduino to your transistor/MOSFET/relay is OK. But if you can't avoid sending power through one of those header pins, a short bit of smaller wire might be OK as long as the wire is not too small, and as long as you get a good-solid connection between the skinny wire and the longer fat wire.