The problem is that no one has ever really been able to explain how light can be a wave phenomenon and a particle phenomenon at one and the same time.
In
the thread Ari is referring to I pointed out that
nothing actually happens to the photon as it flies through space. Because the photon is travelling at
c, it experiences infinite time dilation and Fitzgerald-Lorentz contraction: so, from the photon's point of view, its creation, entire existence and destruction all take place in the same instant in time at the same point in space. There isn't any time for the photon to experience any intrinsic change.
Matter has two forms of energy: rest mass and kinetic energy. Rest mass is intrinsic, but kinetic energy is relative to the observer. Photons have no rest mass. All their energy is relative to the observer. It's we who see the light redshifted. In reality the light is just as it was when it was created (billions of years ago from our point of view, now from the light's POV).