Once the fat cells die from Zeltiq's coolsculpting, the macrophages of the immune system consume them and distribute them. As there is no injury to the vascular system with CoolSculpting there isn't a mechanism of which I'm aware that a fat embolus would occur and I am not aware of such a report, unlike when abdominoplasty has been done at the same time as liposuction.
The information provided in Dr. Shelton's answer is for educational purposes only and is not intended to constitute medical advice. The information provided should not be relied upon as a substitute for consultations with a qualified health professional who may be familiar with your individual medical needs
Web reference: http://www.thenyac.com/zeltiq/index.html