I dont know whether that was Stallones intention or not, but certainly the fact that Balboa vanishes instead of simply walking away is as enigmatic as hell and gives rise to all these theories in the "it was all in his head" fashion, which would be completely unsubstantiated otherwise.

He's in Creed, so he's still alive and kicking

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He was escaping from the Matrix.

LMAO what

@Lunchbox-3
He was killed by Spider Rico in the first scene of the first movie. Rocky's living in a dream world after that.
I love this theory.

He was killed by Spider Rico in the first scene of the first movie. Rocky's living in a dream world after that. Suddenly he gets a title shot against the world champion out of nowhere, he gets Mick's respect and Adrian finally notices him. He miraculously keeps healing between movies. His son grows at an accelerated rate. He's obviously in Heaven.
By "Rocky Balboa" he has grown weary of his false life/afterlife and ready to move on to the next plane. This is why Spider suddenly becomes very important his life again, the symbol of the man who killed him coming back to guide him to the next step. He has one last fight before he lets go of it all.
Now he will move on, presumably to be reincarnated as a dog or turtle in the next life.

*Punchy

Butkus ate him.

Didn't he go to Cambodia and hide out there until some missionaries asked for his help and he got these big guns and blew the crap out of the bad guys? Or was that the other Rocky?

^LOL.
t the OP, wth? he doesn't die, because dont you know that rocky shortly afterward traveled to Burma and put a whole armies ass to the grass? then after that joined a band of mercenaries to fight a drug lord in spain?
lol couldnt help it. but seriously, you are looking way too into it. that's a common thing they do in movies when people fade away like that, its just an effect. like someone said, he made peace with himself and Adrian, and now he can live with respect and love again without feeling so attached to the past and can no move on with his life. in the first matrix when the guys are working on neo rebuilding his body, and they show them standing there then they disappear, does that mean they died? NO! its just an effect to show time has passed.
Realism, Remakes and Unnecessary Sequels are ruining movies!

The Robot killed him in Rocky IV when it blew a fuse.

I just took it as a metaphor based on General McArthur's retirement speech.
"Old soldiers never die, they just fade away."
Rocky is now retired for good and will just fade away into the history books.
Save the whales; collect the whole set.

He froze to death in the freezer training for Apollo.

They're all really dolls.

@jaystarstar Rockception.

He was smashed in the brain by a right cross from Apollo Creed early of the first round of the fight back in July 1976.
He was killed instantly the 5 succeeding movies are all part of a hallucination Rocky had after Apollo's killing blow connected.

4. You ever seen Superman $#$# his pants? Case closed.

@AgentSparkyX He was shot in the abdomen by one of his former trainees, who then turned the gun on himself.

No, he disappears like a ghost. It was like the twist ending of The Sixth Sense.

It doesn't imply that whatsoever. It's merely a reflection of how he's made his peace with life. Of course he will die one day, but at least his heart is at ease.
"
The History of My Skin by Charlie Simms
"