Thermodynamics began as the study of heat machines like steam engines to increase their efficiency. The observation that the total energy of the machine remained constant gave the first law of thermodynamics, that energy is always conserved, and that energy always flows from hot to cold gave the second law, that energy always disperses. It followed that if our universe is a big machine, it will have a constant energy that constantly disperses.
The second law predicts that the energy of the universe will always disperse, to end up as maybe one atom per cubic light year, in a big freeze that will last forever, because:
“… eventually all these over densities will be ironed out and the Universe will be left featureless and lifeless forever, it seems” (Barrow, 2007), p191.
According to big bang theory, our universe was once just the size of a tennis ball that then expanded into what it is today. But expansion requires energy, as blowing up a balloon cools the gas inside it, so our universe must be cooling down. This cooling effect is illustrated by cosmic microwave background, the early light that was once white hot but is now freezing cold. And space is still expanding, so every photon in our universe has a longer wavelength today than it did yesterday, so it has less energy. The expansion of space is constantly taking the energy of light and not giving it back, so the total energy of our universe isn’t conserved!
This doesn’t deny the law of conservation of energy, as it doesn’t apply if our universe isn’t a closed system, but it does mean that our universe is cooling down as it expands. The energy of our universe isn’t conserved, but what then is?