You're certainly right that odd things start to happen if you add enough energy (like eventually having enough to form a quark soup). However, losing mass isn't one of those things.
All objects, from photons to Toyotas, act both like waves and like particles. The reason you can't set up a
double-slit interference experiment with Toyotas, though, is that the wavelength of an object is equal to Planck's constant (h) divided by the object's momentum (the
de Broglie wavelength). Because a Toyota has such an incredibly huge momentum, its wavelength is incredibly small. Assuming a
2009 4-door Toyota Prius going 60 mph, I'm getting that its wavelength is 1.86 * 10^-38 meters, or (if you rather) 1.86 * 10^-29 nanometers. That number is so infinitesimal that there is absolutely no way we will ever observe wavelike behavior from a Prius.
Note that since momentum is the product of an object's mass and its velocity, making things go faster increases their momentum and actually makes it
harder to see their wave nature. At relativistic speeds (i.e., more than about 10% of the speed of light), you have to start taking relativity into account; however, adding more energy will still make something act more like a particle, and less like a wave.
Anyway, going back to your initial question: strange things do happen at incredibly high energies. However, I'm not aware of anything that says you can't keep on adding energy (and thus increasing the temperature), despite the strange transformations the matter might undergo along the way. (Then again, this isn't an issues we've really talked a lot about in any of my classes, and I'm not going to claim to be knowledgeable about cutting-edge high-energy physics.)