Usually into the neighbor's yard, depending upon where you point your backwash hose.
Seriously, the drain in the bottom of the pool is not like the drain in the bottom of a sink. It's another intake point for the filter system. That way your filter can pull from the bottom of the pool as well as from a skimmer at the top.
So to recap, water leaves the pool from a skimmer or drain, travels through the pump and filter, and returns to the pool by way of the .... ummm... 'returns'.