We know that matter and energy cannot be created or destroyed, i.e. in a closed system total energy remains constant. If our universe happened to be a closed system, one would reasonably expect the same conservation law to hold.
However, the universe is more or less proven to be an open system, i.e. it will keep on expanding and never contract. The expansion causes the cosmological redshift, meaning that the wavelengths of all photons coming from distant objects in the universe are being stretched with the space that they move through.
Such photons, if they are received on Earth, have longer wavelengths than what they were transmitted at. Since energy is inversely proportional to wavelength, this means that the sum of the absorbed energy in the universe is less than the sum of the transmitted energy. Where does this 'lost energy' go?
One can contemplate that some radiation goes out of our observable universe, but according to accepted theory, radiation can't escape the total universe, because outside the universe there is nothing – no space, no time, no energy...
In any case, the amount of energy 'lost' inside our observable universe due to cosmological redshift must be orders of magnitude more than what can escape over the observational horizon. So where is it? What would Sherlock say?
Some background, not quite an answer(!), is available in Cosmology and the Engineer.