When nuclear fission occurs some mass is lost where does that mass go

The loss of matter is called the mass defect. The missing matter is converted into energy. You can actually calculate the amount of energy produced during a nuclear reaction with  fairly simple equation developed by Albert Einstein; E = mc^2. In this equation, E is the amount of energy produced, m is the missing mass, or the mass defect, and c is the speed of light, which is a rather large number. The speed of light is squared, making that part of the equation a very large number that, even when multiplied by a small amount of mass, yields a large amount of energy.