The do not disappear with zero energy.
Their energy (both that originating from rest mass and any kinetic energy) appears somehow. As photons, a spray of other (lighter) particles, etc.
For instance, when an electron meets a positron (that is, a anti-electron) the most common result is a pair of gamma rays each of 511 keV (in the center of momentum (CoM) frame of the $e$--$e^+$ pair). It has to be at least two because you have to conserve both energy and momentum (and angular momentum, too, but that is a complication we will ignore for the moment), and that also tells us that there have opposite momenta in the CoM frame.