The answer I usually get (and I'm paraphrasing here) is that they disappear and are instead absorbed as heat energy.
But I find it hard to believe that the photon simply "disappears." Common sense tells me it must turn into something or other, not just simply poof out of existence; then again, common sense has betrayed me before.
Forgive me if this is obvious; high school physics student here who's just learned about light and is greatly confused by all this.