Try to think of a radio wave as light. Light and radiowaves are exactly the same thing, but our eyes cannot see radio waves. Radio waves are just light waves with longer wavelength, lower frequency and lower energy. You can see a picture of this electromagnetic spectrum at a NASA educational website. While you cannot see what happens to radio waves, you should be able to see what happens to light. Think about it.

Light gets absorbed, reflected and refracted. Or to put it another way, it is converted to other forms of energy (absorbed as heat), it bounces around, or it gets bent. Light waves (or radio waves) do not need an atmosphere to exist. They work fine with zero atmosphere such as in outer space. How else could we see the light of the moon and stars, or the sun?

To think of it another way: light is a wave. Picture the ripples in a pond when you throw a stone into the middle. What happens to those ripples? You've seen it. They keep going and going and going until they hit something. Then what happens? They bounce off. All the time they are diminishing a bit. Eventually they just disappear. Where did the energy go? It was converted to heat, mostly.