How many of you atheists believe in the Big Bang Theory?

[Thumpalumpacus]

Where would that lost energy be going?

Good question & it's something I've wondered about, myself. To try to illustrate what I'm guessing might be the answer (and I hope it isn't too confusing because I'm going to be using light as an analogy to light), imagine air that's full of smoke, fog, or something else that can reflect or absorb light from a flashlight; I don't think that would result in the frequency of the light being reduced resulting in a redshift in this case; what I think you would have with a flashlight and smoke, fog, etc. is merely a reduction in light intensity. In this case, we would be able to see that the reduction in light intensity is the result of the smoke, fog, etc. absorbing or reflecting the light from the flashlight.

Perhaps it would be less confusing if sound instead of light were used, and instead of a flashlight, it's a speaker; instead of smoke or fog, it's walls & material that reflects or absorb the sound (hard surfaces would generally reflect & soft surfaces would absorb, etc.).

Let's consider light that's coming from sources that are nearly the farthest distance from the known universe (perhaps at the threshold of CMBR or slightly closer); it stands to reason that as those photons are heading our way, at some point they're bound to encounter something analogous to that smoke or fog obstructing the flashlight, or walls obstructing the sound from that speaker, such as the existing galaxies within our known universe. I wonder if galaxies or some sort of obstructions throughout the known universe are actually absorbing photons from those far distant sources (perhaps it's just more galaxies that are beyond the CMBR threshold - that we can't see or recognize as galaxies), and releasing its own set of photons (like a repeater), and for some reason these released photons have slightly less energy - meaning redshift resulting in that cosmic microwave background radiation.

I'm not claiming to somehow know that this is what's happening - I in fact do not know; it's just a guess, conjecture, or thought experiment, etc.

[Emphasis added -- Thump]

That lesser energy still has to go somewhere. It will show up in the "repeater's" heat signature, or EM output, or even perhaps motion, as being anomalous.