There are a lot of misconceptions about what happens to your fat when you lose weight. Some think fat is excreted in urine, turned into muscle, or turned into heat. Fat is a large nutrient that contains 9 calories per gram. A calorie is a unit of heat, and quantifies the amount of energy produced by the break of the chemical bonds as fat is metabolized. Triglycerides are the building blocks of fat, and are stored in adipose (fat) tissue cells. You can never get rid of your adipose cells; you can only shrink them by burning the contents. The triglycerides inside these fat cells are the compounds that we actually burn as energy. A triglyceride is made of carbon, hydrogen, and oxygen and when burned we are unlocking the stored energy in the carbon bonds. The product of these chemical reactions is carbon dioxide CO2, and water H2O which is exhaled with each breathe. So, you are exhaling your fat with each breathe. The law of conservation of mass states that mass cannot be created of destroyed, so imagine the amount of breathes you would need to take to amass a pound of fat!
Meerman, R., and A. J. Brown. "When Somebody Loses Weight, Where Does the Fat Go?" Bmj 349.Dec16 13 (2014): n. pag. Web. 15 May 2015.
"Where Does Your Fat Go When You Lose Weight?" IFLScience. N.p., 17 Dec. 2014. Web. 15 May 2015.