That is because work requires energy. According to the law of conservation of energy, it cannot be created or destroyed. When doing work, energy change forms and gets transferred to the object until it is released.
for example, when you lift up an object and place it on a higher elevation, you transferred energy to it and gave it potential energy. The potential energy is transformed into kinetic energy when the object falls down, and if it hits a surface, the energy will scatter, vibrating the areas around it and producing sound.
Also, work= force X distance. The energy does not go away, but rather get changed into some other form of energy
