The Primary Example of Energy Not Being Conserved in Space

The idea of energy not being conserved isn't steeped into our everyday physics. As space expands it turns out there's a way to lose energy for example a photon photons are flying through space. Photons always move at the same speed the speed of light but they have different levels of energy which correspond to their wavelength, which is equivalent to their color or their frequency It's all the same thing and so when you make a photon redder Effectively you're taking away its energy. So in that case the expansion of space Disappears energy from a photon what?