Actually, we KNOW where they went. They died out. Most of them. There just MIGHT be a few remnant examples still roaming around in the world’s most remote locations. People still report seeing Mammoths in Siberia on occasion, and the Shunka Warakan of Ioway Indian legend just might be a surviving Direwolf. Generally speaking, though, the Megafauna, the Sabertooths and Mammoths and Cave bears and Direwolves and Aurochs all went extinct at the end of the last Ice Age. The reason why has been a longstanding mystery to scientists. There are three common theories, nicknamed “Chill, Kill, or Ill.” In other words, either the climate change killed them, human beings hunted them to extinction, or there was some kind of disease outbreak. Or it could have been some combination of any of the three.
The latest evidence suggests that it was the “Chill” scenario that played the biggest part. As all that ice melted, it turned grasslands into marshes and bogs and depriving the giant herbivores like mammoths of sustenance. When the mammoths died out, the giant predators had nothing to eat except humans, and the humans were notoriously hard to catch. Most scientist do believe that human predation of the herbivores did play a part, though, just not as big as part as the changing climate.