They walk out the door with wheelbarrels and dump it in the street for the poor. Sorry, getting punchy today. Really I would guess they do what most businesses do and reinvest whats left after costs into new products. They all have marketing costs, infrastructure costs, people costs, etc.
Hm, what would ANY business do with their profits? CME etc. - it is a company called CmeGroup that is public. You can buy shares in them. So what you think any company does with it's profits? Makes no difference wehther you call it Amazon or CME
Occasionally, exchanges give their disgraced CEOs a parting gift to the tune of a few years of corporate profits. Link