When you burn fat, it doesn't simply vanish from your body. Instead, it converts into carbon dioxide and water. If you burn 10 kg of fat, it actually converts into 8.4 kg of carbon dioxide and 1.6 kg of water. So, more than 80% of your fat literally goes into the air during exhalation.
This may seem surprising, but it's actually a result of the law of conservation of mass, which states that matter cannot be created or destroyed. When you burn fat, the chemical bonds in the fat molecules are broken, and the atoms are rearranged to form new molecules of carbon dioxide and water.
The process of fat burning also releases energy, which is what your body uses to power your workouts and other activities. So, while it's true that most of your fat leaves your body as carbon dioxide and water, you're also getting something valuable in return: energy.