I recently answered an overlapping question. My answer was originally some ways off the mark as it was based on a single source which didn't cover this aspect in a lot of detail, but I corrected and expanded it later, with input from other, more detailed sources.

Gist of it: the violence of the crusades seriously cut into their numbers, but they didn't go extinct entirely. The remaining Old Prussians were allowed to live alongside the new Christian settlers (as long as they converted). Their numbers recovered, and over the centuries they interbred with the "newcomers" until they were no longer distinguishable as a separate ethnic group.