If you keep cycling, then stop, where does the engery transfer too?

If you're cycling along and you want to stop, you either
squeeze the brakes, or else you put your feet down and
drag them on the ground.

If you squeeze the brakes, then a pair of pads clamps together
and scrapes the sides of each tire.

If you put your feet down, then they scrape along the ground.

Either way, there's a lot of friction going on.  The friction takes
kinetic energy and turns it into heat.  That heats up some air,
and the heated air blows away.