It goes in to space. Space is a near vacuum so any gas that ends up there is going to spread out extremely quickly and be basically undetectable. But the movies do not usually get what a decompression like this is. A space station does not have unlimited air so there is not going to be a massive wind tunnel sucking everything out for minutes. If it is a pinhole leak the gas will go out slowly, if it is a big hole all of the gas will rush out immediately and then be gone.
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