Even when we're in our normal states, we burn fat. Our bodies are working to burn fat all day, not just when we're working out. Fat is a primary source of energy, whether you're working to lose weight or maintain it. But do you ever wonder where all that fat actually goes? High-intensity training sessions or just shedding winter pounds, where does that fat go? Recently a panel of doctors, nutritionists and athletic trainers took a survey on fat loss as part of a study published in the British Medical Journal.