According to the documentation the email adress of your blog/website is used (which you entered during wp installation).
H) Setting up the Contact Page
Create a new Page and choose the Page template Contact Form. If someone sends you a mail it will be automatically sent to the email adress you entered as the admin adress of your blog. Sometimes there are issues with sending the mail. this happened to some of my earlier customers and it always happened to be a problem with the server configuration. Please ask your server admin/support if that doesnt work out correctly.