The most hard-core fighters, those closest to ISIS leader al Baghdadi are apt to join clandestine groups in Syria and Iraq, such as Fateh al-Sham, and Ahrar al-Sham where they will rest, recuperate re-arm and try again, most likely in ungoverned areas of Iraq and Syria. Some may join al Qaida, but that could take time, as the rift between them is very deep. They are likely to seek out ungoverned areas still beyond the writ of either Syrian or Iraqi government forces and their allies.

A second group will be the "free agents" aka mercenaries who cannot return to their home countries:

A second group of fighters are those potential “free agents” or mercenaries who are prevented from returning to their home countries. They can be expected to form a cohort of stateless jihadists who will travel abroad in search of the the next jihadi theater—Yemen, Libya, West Africa, or Afghanistan—to protect, sustain, and expand the boundaries of the so-called caliphate. These are the militant progeny of the original mujahideen, or transnational jihadists that once filled the ranks of al-Qaeda and fought in Afghanistan against the Soviets, and in Chechnya and the Balkans. ISIS affiliates and local Sunni jihadists in these places would likely welcome an influx of battle-hardened comrades.

Behind door number three will be the third group referred to as "the returnees". They will cause counter-terrorism experts the most concern:

These fighters may attempt to return to their countries of origin, like Tunisia or Saudi Arabia, or go further afield to Europe, Asia, or North America. States with more robust national defense structures—well-trained border police, world-class intelligence services—stand a better chance of blunting their impact. But all Western security services are not created equal: Some will inevitably have a tougher time containing this threat than others.....

There is likely to be two types of returnees: the first may disillusioned and not a physical threat:

But upon returning to the West, they could be used to mentor other radicalized youth. These fighters may require psychological care, not prison time.

The second type, the "Operational Returnees" is the one to be concerned about. They may have left ISIS for any number of reasons, from homesickness to family matters that needed attention, to burnout. But while they disengaged, they did not become disillusioned.

Just as militants are motivated to join the fight for a variety of reasons, they may leave it behind for any number of reasons: an impending marriage, battle fatigue, or because they miss their families. They are, however, still committed to jihadism. As one returnee recently said, “I left ISIS, but if another fight happened somewhere else, I would probably go.” This individual grew disillusioned with ISIS as an organization, but not with jihad as a whole.

As to why the operational returnees are the biggest threat: They are the ones most likely to"

....attempt to resuscitate dormant networks, recruit new members, or conduct lone-wolf style attacks. They will be well-positioned to attempt attacks under the command and control of what remains of ISIS in the Middle East. They are the most deadly.

As examples of the operational returnees, the authors write:

The November 2015 Paris attacks, conducted by foreign fighters who trained in Syria and were dispatched to France, are perhaps the clearest instance of this. Operational returnees are an even bigger concern if, in fact, hundreds of operatives have already been deployed to Europe, with hundreds more hiding out on Europe’s doorstep in Turkey.

The authors conclude with some suggestions for handling each type, and point out the danger to Europe in particular:

While the EU is distracted with the fallout from Brexit and Russian meddling in national elections, militant jihadists will be streaming back into Europe, some of them determined to strike. And while transnational terrorists will undoubtedly flock to Libya and Yemen, the real challenge will be preventing further attacks around the globe, including in major European cities.

(About the article's authors: Colin P. Clarke is a political scientist at the RAND Corporation and an associate fellow at the International Center for Counter Terrorism. Amarnath Amarasingam is a senior research fellow at the Institute for Strategic Dialogue and a fellow at the George Washington University’s Program on Extremism. Also see Amarasingam's article last week in Politico, What ISIS Fighters Think of Trump.)

There are statistics on European-born jihadists.
According to CAT's latest figures (Center for the Analysis of Terrorism in France):

• About 2,300 French nationals or residents are involved in Syrian-Iraqi jihadist networks (including 689 in Syria or Iraq).
• 1,302 individuals have pending legal proceedings in France.
• Almost 7,200 EU nationals or residents, about 70% of which are French, British and German nationals or residents, are involved in jihadi networks, including almost 5,800 departures and more than 1,500 returnees in the EU.

For Belgian statistics, Pieter Van Ostaeyen and Guy Van Vlierden have been keeping close tabs for years. Here's their latest count, ("From Plotting Early in 2011 to the Paris and Brussels Attacks") published by the European Foundation for Democracy and the Counter-Extremism Project.

As for all those reports of captured ISIS fighters now revealing a litany of horrible acts they participated in, Researcher Aymenn J Al-Tamimi‏
says ("for the Nth time"):

...there's nothing authentic about media access to suspected IS prisoners in systems where abuses [are]endemic

My interpretation: The bottom line of all this is that the increased military involvement of the U.S. may defeat ISIS as it is presently structured, but it won't end the terror threat, especially when after ISIS fails, its fighters will be dispersed far and wide across the globe. Instead of being a Middle East problem, we will have succeeded in making it our problem. Shorter version: When winning is a failure.

Update: I just read Professor Philip Seib (USC's Annenberg School) new article, "The ISIS Delusion, The Al Qaeda Reality" in Huffington Post:

While ISIS fights and dies, Al Qaeda builds. If it establishes the foothold it seeks, Al Qaeda will soon turn to again planning attacks across the globe. ... Trump seems to think that eradicating ISIS will mean eradicating terrorism. He is wrong … dangerously wrong.