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<<So we want a list of films in which the protagonist, or at least a major
character, at the end of the film, just kind of walks out the door and,
without a word to anyone, goes away and doesn't come back.>>
 
I'm a little puzzled. Your "without a word to anyone" is very ambiguous and
I'm not sure you mean it. If you don't, then you have missed the Big One:
Gable in "Gone With the Wind"!
 
Oh, also Bogart in "In a Lonely Place"
 
Gene Stavis, School of Visual Arts - NYC