If you lose 10 pounds, where do those pounds go? It’s weird trivia that I never learned in school. Do you poop it out? pee? sweat?
A parallel question clarifies: where does the gasoline goes when you drive your car? The car’s internal combustion engine turns oxygen and petrol into energy and CO₂. The air leaving a car’s muffler is heavier than the air that entered its radiator! This is unintuitive because air seems so... weightless.
Your body works the same way. You convert oxygen and calories into energy and CO₂. Breathing while you sleep means you’ll weigh less waking up than you did falling asleep! And aerobic exercise runs the process harder so naturally it burns more calories.
NPR has details on the process. I find it all fascinating.