The short answer from a cardiologist

Q: Where does lost weight go?

A: If you are overweight, your body stores triglycerides — or lipids that circulate in your blood — as fat. Your body uses this fat as energy when you consume fewer calories than you should, hence the term, “burning fat.”

The broken down fat generates heat that is used to regulate your body temperature, and byproducts are released through this metabolic process. 

You rid of these byproducts in the form of water, which you sweat out through your skin and pee out through your kidneys. You also breathe out these byproducts in the form of carbon dioxide.