Before the Obamas got rich in 2005, they still averaged over $200k in income annually from 1997-2004, but did they save much? For example, even though they made $3 million in 2005-2006, Sen. Obama didn't start sheltering income from his books in a Self Employed Pension until 2007, presumably because they couldn't afford to set cash aside. Obama has said he had a hard time renting a car at the 2000 Democratic convention because his credit card was maxed out.
Mrs. Obama complains frequently about the burden of having to pay off their law school loans, but she got out of law school 20 years ago and he got out 17 years ago.
My vague impression is that Mrs. Obama is quite high maintenance (e.g., she works out with a personal trainer four times per week, which must chew up $10k or $15k per year right there), so that might account for where the money went.