Burning money in this context does not mean that the money disappears, but that the thing you get for your money is worthless, but you pretend it isn't. Here, it's GPUs.
The problem is that how it should really work is that people make a product, they sell that product for money, and since the product they sold is worth as much as the money paid for it, that value is now twice in the economy, once in the shape of cash and once in the shape of the product. This is how economic growth should work.
Now you could say that if someone paid that much for that product, it should be worth that much. But if it's just you and your friend passing it back and forth, that would feel fraudulent, as it isn't worth as much to most people. All the AI money and growth, which is a significant portion of the US GDP growth, is money that's passed between like 7 companies, in a circular way.
And the main valuable product in the whole AI boom is not even AI, but GPUs, as in that's the only thing people actually pay for. GPUs have a lifetime of months to years at most, even if the demand for them does not crash.