What happens to destroyed districts in Citadels?
It seems Fantasy Flight Games has never officially ruled on this, even though the question has been asked multiple times since the release of the game. However, there have been discussions from players about where the district card goes.

Board Game Geek

In this forum on BGG most people seem to agree that "Discarded/destroyed cards go to the bottom of the District (draw) deck." There is one person who says that they play with a discard pile, although a discard pile is never mentioned in the official rules. 

Also on BGG, a user rewrote the character cards to "prevent ambiguity." He added this line to the Warlord:


  Place the destroyed district to the bottom of the District Deck face-down.


If you scroll down through the comments, nobody challenges this even though there is discussion about some of the other reworded character cards. 

The third place on BGG where this sentiment can be found is here. About halfway down, user Mark Biggar notes that cards destroyed by the Warlord are "discarded" to the bottom of the District deck. There is no dissension on this thread, either.

Fantasy Flight Games Forums

The other place I could find any mention of this was on the FFG Forums. This thread is pretty bad. It has this badly worded question (emphasis mine):


  If the Warlord destroys one of your districts does it go back into your hand or at the bottom of the discard pile?


This is accompanied by a comment that doesn't really address the OP's question. This doesn't seem to really help with deciding where the destroyed district goes.

Conclusion

The consensus from BGG seems to be districts destroyed by the Warlord go to the bottom of the District deck. I'd go with this as the answer to your question.