The coins are still stored in the Blockchain, they just shifted from their original address to another address not owned by the account holders on the MtGox exchange. You cannot remove any coins from the Blockchain, but you can mix the coins up a little that they cannot be traced back to the original owner.

As a matter of fact, you might be using some of the coins that was stolen in the MtGox hack.

The exact same thing happens with cash, you will never know where that cash was, before it reached you.