It’s not clear what exactly you mean here. Do you mean the energy being spread out, or actually reducing in amount?
The energy getting more spread out really shouldn’t be confusing, there’s no reason we should see this as weird. Imagine a box with a lid filled with a hot gas, put inside another box and then take the lid off. The energy spreads out.
As for energy reducing in amount, we can actually kind of say that happens. As the universe expands, light gets redshifted and ends up with less energy. There’s another thing going on though, the vacuum energy density should stay the same, so as the universe expands and we get more space with the same energy density then you can say that we end up with more energy. Note that these two things do not even come close to cancelling, I am mentioning both of them just for completeness.
Now some will argue that we should use certain definitions of energy that include stuff related to the gravitational field, and we can come up with a term that is actually conserved. While that conservation law is useful, in my opinion it is better to abandon the idea of energy being conserved in cosmology.
So how can energy not be conserved? Well in modern physics, we can say that “energy is the conserved quantity associated with the symmetry of time translation invariance”. That sentence essentially boils down to the fact that if you do something at one time and then do it again later it should give the same result (if it is a deterministic system), or in other words the laws of physics don’t change. Now the evolution of the universe kind of throws a spanner in that, because things are changing in time, and so the conservation law is not entirely valid.
Edit: here’s a blog post by Sean Carroll (a renowned cosmologist) on this topic:
https://www.preposterousuniverse.com/blog/2010/02/22/energy-is-not-conserved/
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