The Sunyaev‐Zel’dovich (SZ) effect is a direct probe of thermal energy content of the Universe, induced in the cosmic microwave background (CMB) sky through scattering of CMB photons off hot electrons in the intracluster medium (ICM). We report a 9σ detection of the SZ signal in the CMB maps of Wilkinson Microwave Anisotropy Probe (WMAP) three-year data, through study of a sample of 193 massive galaxy clusters with observed X-ray temperatures greater than 3 keV. For the first time, we make a model-independent measurement of the pressure profile in the outskirts of the ICM, and show that it closely follows the profiles obtained by X-ray observations and numerical simulations. We find that our measurements of the SZ effect would account for only half of the thermal energy of the cluster, if all the cluster baryons were in the hot ICM phase. Our measurements indicate that a significant fraction, 35 ± 8 per cent, of baryonic mass is missing from the hot ICM, and thus must have cooled to form galaxies, intracluster stars, or an unknown cold phase of the ICM. There does not seem to be enough mass in the form of stars or cold gas in the cluster galaxies or intracluster space, signalling the need for a yet-unknown baryonic component (at 3σ level), or otherwise new astrophysical processes in the ICM.