Likely there is a linguistic misunderstanding of some sort here but when a car hits a wall damage occurs and momentum is lost. Or momentum is transferred into the structures that are transformed into damage if you prefer
The wall is attached to the earth. Although it is not perceptible due to enormous mass of the earth, the earth's momentum increases. The total momentum of the car + wall/earth are the same before and after the collision. Kinetic energy is generally not conserved in collisions but momentum is always conserved. Momentum cannot disappear. It does not matter how or how much energy disappears as heat in the collision. In fact, if it is a collision where one body collides with another and the two bodies end up being stuck together, we can use the conservation of momentum to determine the final speed of the bodies and, thereby, determine exactly how much kinetic energy was lost in the collision.
The bottom line: If the bullet strikes the head and matter is ejected from the head, that ejected matter carries momentum and the remaining part of the head must gain an opposite amount of momentum such that the total momenta of the head matter and bullet are the same before, during, and after the impact.