So I thought that energy can't be destroyed or created but can only be transformed into another kind of energy. I read something about the Universe dying because all the stars will burn out and the Universe will "die due to hypothermia". Now, if there isn't any thermal energy left, where will all the energy have gone?
This is known as the "Heat Death" of the Universe which is based on the Second Law of Thermodynamics which says that Entropy will increase in an isolated system (and, we assume the Universe is isolated).
So, as Entropy increases over time then ultimately every part of the Universe will be at the same temperature and same level of maximum Entropy such that no Energy transfer of any sort can take place. Thus, no dynamics in the Universe.
Thus, the death of the Universe. So, the total energy of the Universe is still there but it is equally and evenly spread out over the entire Universe and all that Energy is sort of useless as previously mentioned.
There are lots of sources for delving deeper into the idea of the "Heat Death" and Google can find many of them.