I will have to check on this, it was from a blog. Ted Bunn also comments:
"Consider the following scenario: I am on a train moving away from you. I throw a ball to you. The speed of the ball as measured by you when you catch it, is less than the speed of the ball as measured by me when I threw it. Where did the energy go?
This situation is precisely the same as the Doppler shift. In both cases, there's no problem with energy conservation, because the energies in question are measured in two different reference frames. Energy conservation says that, in any given reference frame, the amount of energy doesn't change. It says nothing about how the energy in one frame is related to the energy in another frame."