As the effective inductance levels off due to saturation the stored energy also levels off, additional inductor current then produces heating. As a simple model of an ideal inductor Leff with a series resistance Reff, these both depend on the inductor current with Leff decreasing with applied current as saturation is approached, and Reff increasing as saturation is approached.
Another way of thinking is the Inductor "Q" begins to decrease as saturation is approached, with "Q" as the inductors "ability" to store energy vs. energy dissipation, which is also a valid use of "Q" over the usual omega*L/R.
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