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The five aggregates are said to be destroyed when a sentient being dies.
SN 24.5 says that sentient beings are not annihilated at death.
So what is this component that is not part of the five aggregates that goes to the next rebirth or we don’t know what happen to it if one is an arahat?
“SN 24.5 says that sentient beings are not annihilated at death.”
Does it? 
http://suttacentral.net/sn24.5/en/sujato
I read the sutta a couple of times and yet did not understand it to say what you say it says. Could you explain how you get to that conclusion?
The sutta, like others of the same chapter, is all about discarding views that arise by grasping what’s impermanent, suffering, and perishable.
See the for example SN24.3. It discards, for example, the view “the self and the cosmos are one and the same. After passing away one will be permanent, everlasting, eternal, and imperishable”.
http://suttacentral.net/sn24.3/en/sujato
I think the point here is how by discarding these views one opens up the possibility of the four noble truths and its respective ennobling truths to work and bring about stream-entry.
To me, the point is that in light of dependent origination, there is neither annihilation not continuity. As per the discourses of SN12, from which I highlight SN12.15:
“Kaccāna, this world mostly relies on the dual notions of existence and non-existence.
But when you truly see the origin of the world with right understanding, you won’t have the notion of non-existence regarding the world.
And when you truly see the cessation of the world with right understanding, you won’t have the notion of existence regarding the world.
The world is for the most part shackled to attraction, grasping, and insisting. But if—when it comes to this attraction, grasping, mental dedication, insistence, and underlying tendency—you don’t get attracted, grasp, and commit to the notion ‘my self’, you’ll have no doubt or uncertainty that what arises is just suffering arising, and what ceases is just suffering ceasing.
Your knowledge about this is independent of others.
This is how right view is defined.
Another discourse worth highlighting is SN12.35, in which the Buddha says that when ignorance fades away all the things conditioned by it fall apart, including speculations about the ontological nature any of the twelve factors of dependent origination.
P.S.: SN24 is indeed a very interesting chapter of SN, in SN24.8 we see the Buddha discarding the very complex and interesting view that is usually attributed to the those who back in the time of the Buddha were called Ājīvikas:
Five aggregates lasts seconds…!
Or a lifetime, when viewed as a process.
Rupa aggregate, not Rupa, would last a lifetime!
Whatever kind of form there is, whether past, future, or present, internal or external, gross or subtle, inferior or superior, far or near: this is called the form aggregate. SuttaCentral
Is there actually a distinction between rupa aggregate and rupa in the EBTs? Maybe internal v. external, as in MN140? External rupa includes billion-year-old rocks and stuff.
But, bhikkhus, when one has understood the impermanence of form, its change, fading away, and cessation, and when one sees as it really is with correct wisdom thus: ‘In the past and also now all form is impermanent, suffering, and subject to change,’ then sorrow, lamentation, pain, displeasure, and despair are abandoned. With their abandonment, one does not become agitated. Being unagitated, one dwells happily.
Rūpassa tveva, bhikkhave, aniccataṃ viditvā vipariṇāmaṃ virāgaṃ nirodhaṃ, ‘pubbe cevarūpaṃ etarahi ca sabbaṃ rūpaṃ aniccaṃ dukkhaṃ vipariṇāmadhamman’ti, evametaṃyathābhūtaṃ sammappaññāya passato ye sokaparidevadukkhadomanassupāyāsā tepahīyanti. SuttaCentral
It seems to show how the currently arisen object is Rupa. Impermanence etc (therefore dukkha, anatta also) can be understood but using inference (anyava) understood to be applicable to all form past, future, etc. even though not immediately accessible to current mindfulness. This would seem to be a progression of the insight generated. Past, present and future rupa constitute the aggregate of rupa, and this is what is let gone of (to stop being upadana khandha or aggregates subject to clinging).
Nama-Rupa also is also mentioned without the aggregate in the suttas perhaps indicating its role as external ayatana or objects of sensory awareness.
https://suttacentral.net/sn12.58/en/sujato
Furthermore from this sutta, the stream entrant experiences nibbana but with 7 fetters intact. This suggests a suppression of the fetters to samsara, rather than their actual removal, leading to the idea of suppression (tadanga).
Without anxiety you live happily. A mendicant who lives happily is said to be extinguished in that respect.”
bhikkhave, aniccataṃ viditvā vipariṇāmaṃvirāgaṃ nirodhaṃ, ‘pubbe ceva viññāṇaṃ etarahi ca sabbaṃ viññāṇaṃ aniccaṃ dukkhaṃvipariṇāmadhamman’ti, evametaṃ yathābhūtaṃ sammappaññāya passato yesokaparidevadukkhadomanassupāyāsā te pahīyanti. Tesaṃ pahānā na paritassati,aparitassaṃ sukhaṃ viharati, sukhavihārī bhikkhu ‘tadaṅganibbuto’ti vuccatī”ti. SuttaCentral