It means that as the ball falls lower and lower, and loses
potential energy constantly, all the energy that it loses
has to go somewhere. None of it can just disappear.
Part of the potential energy turns to kinetic energy, in the
downward motion of the ball. The rest of it goes into pushing
air out of the way, and slightly heating some air as the ball
scrapes through it. If you had some way of measuring these,
"conservation of energy" means that the total would never change.
Energy can never disappear.