Hello.
That really depends on what money you're talking about. If you're talking about housing, it really does disappear into thin air, just because the value of a house is part accounting on projections of similar houses that are actually being bought and sold currently and part the amount that's sunk into it.
If you're talking about stocks, a lot of it goes to those who shorted or sold them, but they'll be slippage based on when there are no buyers, and that slippage is another word for disappearing into thin air.
If you're talking about forex, the money goes to the other trader, the spread goes to the broker, part of the loss of margin goes to a company that insures debt, and the part that's left of what you lose goes to your broker. When you make a trade, the broker still remains responsible for the lot itself, and that's what they insure against.
Some unethical brokers simply assume that you won't be right, and then when you're wrong they just raid your margin and keep it for themselves. All unethical brokers gain your margin by somehow not taking your orders to market.