For photons , with the velocity of light c=1, E=p . As the energy is decreasing due to the relativistic doppler effect the momentum will be decreasing proportionately. In a flat space the momentum balance will be kept by the receding star/galaxy.
The whole deal of conservation laws in general relativity is quite complicated, and theorists get creative. See this link for example
For:
Expansion of the universe leading to cosmological redshift
Cosmologists model the expanding universe with Friedmann-Robertson-Walker (FRW) spacetimes. (The familiar "expanding balloon speckled with galaxies" belongs to this class of models.) The FRW spacetimes are neither static nor asymptotically flat. Those who harbor no qualms about pseudo-tensors will say that radiant energy becomes gravitational energy. Others will say that the energy is simply lost.
The same "confusion" will exist for momentum conservation.