For anyone coming straight to the comments looking for an answer to the question: it turns into CO2 (and a bit of water) and you breathe it out. When you realize that you have to breathe out all the weight you lose, I think it gives you a bigger appreciation for how difficult weight loss can be.
Similarly, when a tree grows, where does most of the mass come from? a) the soil b) water c) the air d) other
I'm astonished for ignorant the doctors of the survey are!