Conservation of energy states energy can't be destroyed, but isn't energy used up when walking in a straight line? If your not walking up a slope, kinetic energy isn't converted to gravitational potential energy, so what is it converted to?
In case of walking on horizontal plane chemical energy is turned into heat. (Muscles are constantly contracting and expanding and in this way your body's temperature increases.)
Moving your limbs is not very efficient way of moving, this is why there is a room for improvement. E.g. if you are cycling (or skating...), you use the same quantity of chemical energy to make much larger distance.
If one could make a perfect bycicle (without any friction in the wheels and friction between the wheel and the ground), you could make miles of horizontal distance without any effort/energy at all!