They leave one week later, having left no trace. In the 10 Principles of Burning Man they put it like this:
Our community respects the environment. We are committed to leaving no physical trace of our activities whenever we gather. We clean up after ourselves and endeavour, whenever possible, to leave such places in a better state than when we found them.
We brought with us everything we needed for the stay when we came, food, vine, water, and a place to sleep. We brought all our garbage out of the desert when we left. When we stayed in Black Rock city, we carried with us small metal boxes in our pockets to use as ashtrays, as we did not want to leave the ash or filters from the sigarettes. Maybe it sounds silly. But nothing was thrown on the ground.
The playa was really looking great, there was not much paper or other left-overs seen on the ground anywhere. The toilets were clean. I have never seen a festival like this one, and I was truly amazed.
What about our world? Should we start treating the rest of the planet the same careful way?