I've seen this movie a number of times and could never figure out where he's going at the end.

This time I think I've got it.

It shows him riding off into the sunset but I believe he's going back to the settlement and the girl.
After his talk with Fletcher, he realizes no one is after him amy more and gets on the horse and rides off.
Then it shows all his friends smiling.
He must have been riding back toward the settlement. If he was taking off, they wouldn't all have reacted like that.
Beyond that, he was bleeding all over and it would be the smart place to go.

Anyways, that's my theory.