In their original plan, aside from fighting to the death with the human race for a chance at victory, they naturally also had a retreat in mind for themselves.
That was to say, if they truly couldn't match the human race's strength, they would gather the Demon Race's strongest and most vital forces and retreat into the Chaos Void, searching for a new land of life.
After all, as True Immortal Strong of the Demon Race, they were more than capable of traversing the void. United, these Monster Gods of True Immortal level could certainly find a place suitable for the Demon Race to survive.
They could even, if they so desired, choose any world at random and, with the power of a True Immortal, transform that world into a new paradise for the Demon Race.