A "Fat" question
It goes a lot of places.
Most of it goes to our cells as energy. Think of the fat as logs in a log pile. When you eat, you put more logs on the pile. But your body needs logs to burn. If you are eating less than what you are burning, then the log pile will get smaller.
That's what we're doing. We're burning up our log piles. And just like a log, our fat might weigh 5 pounds when it gets thrown on the pile, after it gets burned up in our lungs and muscles and cells, the left overs (waste) weigh considerably less. Some of it is excreted in our normal waste (urine and stool), some is excreted in our lungs as exhalations, and some waste is sweated out. But you will not excreate 5 pounds of waste for losing 5 pounds of fat, most of it is consumed by the cells in your body keeping you alive. The ashes from the fire are what you get rid of.