Energy can't be destroyed, but it can be made unusable. Typically, this happens by converting it into heat and then spreading the heat around. Once energy is in the form of dispersed heat, it cannot be converted any more into anything else. It isn't destroyed, but it's useless. This is, in an oversimplified nutshell, the concept of entropy.
A variety of devices can convert heat into more useful types of energy, but *only* if the heat is not dispersed (i.e. if two parts of the device are at very different temperatures). And they must disperse at least part of the heat to do so. This is, in another oversimplified nutshell, the reason for which entropy always increases and never decreases.
For example, both the heat in the brake discs and the noise from the engine eventually end up as heat in the atmosphere. At that point, it's impossible to do anything with it. One *could*, in theory, build something that harvests part of the heat in the brake discs and maybe even the noise from the engine, but it would have to be a device that's physically located on the brake discs or on the engine.
Once the energy is in the atmosphere, it's all but gone. The ability to turn heat into useful energy is based on temperature differences, and the temperature differences within the atmosphere are *tiny*. We still exploit them as wind power, but we all know how little power you can draw from that. The vast, vast majority of the energy just stays in the atmosphere, useless, until it radiates into space.