Because sound energy is created by mechanical waves vibrating through matter, the steady oscillations of sound gradually convert to internal energy of the molecules they vibrate, such as air molecules. A sound stops being audible because its energy has been absorbed by the medium through which it travels.
According to Georgia State University's Hyperphysics website, internal energy is the random movement of molecules on so small a scale that it cannot be perceived. This internal energy is also the appropriate physics term for the "heat" that a substance possesses. As sound energy travels through the air, its vibrations essentially heat the air molecules by adding to their random internal movement.
A sound wave in the air eventually stops traveling and stops making audible noise, but the energy is still there. The law of conservation of energy states that energy cannot be lost or gained, but it can be converted to a different kind of energy. Sound energy in any substance functions similarly to other mechanical or physical energy and meets friction or resistance of that substance. As substances experience friction, the mechanical energy is absorbed and turned into more internal energy. Internal energy, thermal energy or heat is considered a less efficient or more disordered energy, and is a product of energy conversions.
Researchers at MIT say that although it would be possible to harness sound energy, it would be difficult to power anything substantial without using sounds with very high volumes, and even then conversion might still be very inefficient.