Where does music go to if nobody listens to it?

I guess we are skipping past the idea of 'if nobody is around to hear it, is it really music' and assuming that by music, you mean sound waves.

Assuming the music isn't being played in space (which is a whole other argument, as in space nobody can hear you scream) then some of the sound is absorbed by matter and converted into heat.

So I'd say, the music goes into heating your room.