Objects in motion have kinetic energy, and Einstein says mass and energy are equivalent. This means in a very real sense objects in motion have additional "relativistic mass". When you annihilate that photon it's energy is transferred to whatever absorbed it.
Confused? You're not alone! Physicists are trying to move away from the terms "rest mass" and "relativistic mass" for reasons including one you've already identified: what does it even mean for a photon to be "at rest"?
thanks!