Let the initial body be $A$ and let it move along $X$ axis. Let the other one be $B$

The reason why we get loss of energy is because we are looking at half the picture. Ideally if body $B$ was to fall on to body $A$, then it should bounce back from conservation of momentum (no matter how small the speed of placement was). But some stickiness to the surface is preventing this. So the energy of motion of block $B$ was absorbed by this attractive sticking force. The full story of what happens to the energy and why we generally call this loss a heat loss is there below.

As some answers mention, we cannot add stuff to the system. So a different form of this question is more reasonable. Imagine a body $A$ moving along $X$ axis over a table (no gravity no friction). Let another mass $B$ be slowly approaching $A$, collides with $A$ and sticks to $A$. This is equivalent to placing the body gently.

where the energy goes

If no stickiness existed, Body $B$ bounces off from $A$ trying to move away but she sticky force pulls it back with all molecules in glue pulling back.

Now a when the molecules of the body and glue attract each other, both molecules would gain energy. the mutual attraction transfers the energy slowly from $B$ into the glue molecules.

This higher speeds would increase the vibration of atoms in the glue, which is equivalent to a rise in temperature. That is why we also call this heat loss

the main take away is that - as feynman says - there is no non-conservative forces. Energy is always conserved but we are lazy to calculate all the energy.

Also to mention this is generally known as a perfectly inelastic collision.

Let the initial body be $A$ and let it move along $X$ axis. Let the other one be $B$

The reason why we get loss of energy is because we are looking at half the picture. Ideally if body $B$ was to fall on to body $A$, then it should bounce back from conservation of momentum (no matter how small the speed of placement was). But some stickiness to the surface is preventing this. So the energy of motion of block $B$ was absorbed by this attractive sticking force. The full story of what happens to the energy and why we generally call this loss a heat loss is there below.

As some answers mention, we cannot add stuff to the system. So a different form of this question is more reasonable. Imagine a body $A$ moving along $X$ axis over a table (no gravity no friction). Let another mass $B$ be slowly approaching $A$, collides with $A$ and sticks to $A$. This is equivalent to placing the body gently.

where the energy goes

If no stickiness existed, Body $B$ bounces off from $A$ trying to move away but the sticky force pulls it back with all molecules in glue pulling back.

Now a when the molecules of the body and glue attract each other, both molecules would gain speed. the mutual attraction transfers the energy slowly from $B$ into the glue molecules.

This higher speeds would increase the vibration of atoms in the glue, which is equivalent to a rise in temperature. That is why we also call this heat loss

the main take away is that - as feynman says - there is no non-conservative forces. Energy is always conserved but we are lazy to calculate all the energy.

Also to mention this is generally known as a perfectly inelastic collision.