The energy-momentum relation,
$$E^2 = m^2c^4 +p^2c^2,$$
lets us derive the momentum of a massless particle:
$$p = \frac{E}{c} = \frac{h\nu}{c}$$
However, the expansion of the Universe redshifts light. This should decrease the momentum of photons. Where would the momentum go, in order for conservation of momentum to hold?