The third Fentian Law, also known as the Second Law of Thermodynamics, states that "it is impossible to transfer heat from a colder body to a hotter body without causing other changes."
Thermal energy converted into other forms of energy, or the transfer of any form of energy, cannot be 100 percent efficient. There will inevitably be some loss, with a portion of the energy turning into meaningless heat energy. In an isolated system, this is unavoidable. Over time, all the energy within that system will turn into meaningless heat energy.
The cosmos is the ultimate isolated system, and scaled up to the cosmic level, this process leads to "thermal death."