Coins only exist at addresses. A transaction takes coins from one address, and sends them to another. If you think these coins still exist, what address do you think they're at?
These were taken from various addresses, and sent nowhere. They aren't in the addresses they came from -- you can check that, the blockchain doesn't lie. They weren't sent to any new address. It's impossible for a new transaction to send them somewhere new, because they don't exist at any address anywhere in the blockchain.
Couldn't you alter the code to scrape the fees from the blockchain when it parses through all of the transactions?
EDIT: Yes you can, but you can create coins out of thin air, so why bother. If you burn the fees, then why even collect them? It is ultimately a tax on the coin owner since they are not used to incentivize miners.