Here's what science has to say:
Get this -- when you lose weight, it literally vanishes into thin air. For real.
When we talk about weight loss, we generally talk about "burning" fat. That's not incorrect. But many folks – including plenty of doctors – will mistakenly tell you that this fat is mostly lost as heat as the result of this "burning." But as you so rightly point out, the law of conservation of mass says that the physical stuff that makes up fat has to go somewhere. And no, it doesn't all go down the toilet.
In fact, most of it is exhaled as carbon dioxide.
"When you lose weight it's essentially like you're eating your own fat," Louis Aronne, director of the Comprehensive Weight Control Center at Weill Cornell Medicine and NewYork-Presbyterian, told The Washington Post. (I bet you didn't think we could make dieting sound any less appealing than it already is. Sorry about that.)
Your body needs a certain amount of energy to function, and it gets that energy from food. When you consume more energy than you expend, it gets stored in fat cells as triglycerides (fat just hustles on in, but excess protein and carbohydrate energy are converted to triglycerides as well) which are made of carbon, hydrogen and oxygen. When you consume less energy than you expend, your body taps into that stored fat. Those triglycerides go into your bloodstream and break up into smaller chunks of fatty acid, Aronne explained, which tissues throughout your body can use as fuel.
To fuel body operations, those fatty acids get broken down yet again into smaller chemical components. The breaking of those chemical bonds produces energy, and then your body is left with a bit of water and a whole lot of CO2.
In a study in the 2014 Christmas edition of the British Medical Journal – an issue known for scientifically sound but cheeky studies – researchers came up with a calculation to estimate the precise input and output of this process. They found that to burn a pound of fat, a human needs to inhale about three pounds of oxygen, kickstarting metabolic processes that produce just under three pounds of carbon dioxide (which is just a bit more than the average weight exhaled by a human on any given day) and about a pound of water. That water can exit the body in plenty of ways – poop, pee, sweat, saliva and any number of bodily fluids – but your lungs handle the brunt of the weight loss.
Unfortunately, that doesn't mean the secret to shedding pounds is a little hyperventilation – it's all about the amount of breathing you have to do to support your metabolic functions. An exhalation itself isn't going to tap into your fat stores in any significant way, but the huffing and puffing that occurs during an intense workout will be full of the sweet spoils of weight loss.
Oh, and in case you were wondering: The whole CO2 thing doesn't mean you can use the threat of global warming as a weight loss cop out. Apparently people have asked. "This reveals troubling misconceptions about global warming which is caused by unlocking the ancient carbon atoms trapped underground in fossilized organisms," study co-author Ruben Meerman, a physicist and Australian TV science presenter, said in a statement after publishing the research. "The carbon atoms human beings exhale are returning to the atmosphere after just a few months or years trapped in food that was made by a plant."