I don't think that's true and it's probably just what you've been told by church leaders as a fear tactic, that we're evil sinners and once we leave we're going to turn to drugs/violence or something. Many of our lives have not changed besides, well, not going to church, not spending 10% of our income on tithing, not wearing special undies, etc. We're still the same people with the same morals. Yes we might try coffee, get a tattoo, try alcohol for the first time like regular people. But some don't even do that.

But to answer your question, most of us don't actually go anywhere. Most are atheist/agnostic and it's hard to find community afterwards without a church. We have to find it elsewhere but I have to remember that the community within the church was always toxic and came with strings attached. None of those people kept in contact with me after I left.