They just get stuck in Phase 2.  Pi isn't on the exchanges till Phase 3...
Its all explained in the WHITE PAPER and the FAQ    
AFTER PHASE 3 COINS WILL NEVER VANISH I GUESS BUT PROBABLY JUST LIKE BITCOIN YOU COULD LOSE YOUR PASSWORD TO ACCOUNT OR LOSE THE WALLET ON DEVICE LIKE A THUMB DRIVE


But that is so more far out and it is a problem with most crypto now that's something I want to find out with Pi Network if they have a solution to that problem just like other digital currencies,,,  but that whats cool about this Pi Network is they have a built in social media platform that we can ask each other things about like this and help the network out