The energy gets transferred to nearby objects warming them up by. A degree or two. From there it gets transferred again to nearby matter but the effect is less because the energy is spread out more. From, there it gets transferred again. And so on and so on.
Eventually, some of the energy gets radiated out into space. The net effect is that the ambient temperature of the universe is increased by an infinitesimal amount. Since the universe is expanding, this might actually just mean the universe cools slight less quickly.
The energy is still there it just keeps spreading out until it’s hard to measure.
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