To put it as simply as possible, some of the energy is converted into mass. The law of conservation of mass is in fact an approximation used under classical physics, and both quantum mechanics and relativity instead use mass-energy equivalence, in which mass and energy form a single conserved quantity.

>I'd like to say thank you for answering my question!

You're most welcome! :)

>I do have one follow up one though; if these particles are created "out of thin air" and contain mass, where does the mass come from?

From the energy of the particles that go into the interaction. Surely you've heard about Einstein's famous relation, E=mc^(2), yes? A given amount of mass is equivalent to a corresponding amount of energy, and vice-versa. So, if you have enough energy, you can create particles with up to however much mass corresponds to that much energy.

>The Law of Conservation of Mass states that particles cannot be created.

No, it doesn't, because there is no law of conservation of mass. There is only conservation of energy.

Mass is approximately conserved in chemical interactions, but even in chemical interactions there are small variations in mass for most interactions because of effects like binding energy and the mass defect, or the release of energy in exothermic reactions.

But either way, there really is no such thing as a "law of conservation of mass," and even if there was, such a law would only say that mass is conserved, it would not say anything about particles not being allowed to be created. Remember: mass and particles are different things. Particles are real physical entities; mass is just a numeric property that particles have, like energy, electric charge, or velocity. Mass is not some kind of physical, tangible thing. It's just a number — one that is involved in governing the behavior of objects which have it.

Hope that helps clarify,