If energy cant be created or destroyed why are we concerned about running out of energy?

There are TWO important laws about energy; you need to understand them both. They are known as the laws of thermodynamics. Actually there are a few more, but the first and second laws are extremely important to understand this question. If you ONLY understand the first one, you will only get an incomplete picture.* First Law of Thermodynamics: This is basically conservation of energy.

* Second Law of Thermodynamics: This can be expressed in many different ways; as a simple introduction, let's just say that useful energy can - and will - convert into unusable energy. This happens all the time, and is unavoidable.

For example, once a car uses up its fuel, the energy that was originally in the fuel is still out there somewhere, but in a "less concentrated", and utterly unusable, form. Among other things, the tires and the road have been heated up a bit.