Expansion of the Universe
In a part of the Universe with NO matter, photons are "stretched" as space-time expands, and drop in individual energy and frequency.
In a part of the Universe WITH matter, photons interact with matter and are "refreshed" at the activation energies (frequencies) of molecular transitions, for example. Instead of the energy levels dropping across all photons, the NUMBER of photons declines.
Energy is still conserved, but the WAY it is conserved is different...