They are leaving for the West, which is where the Elves when weary of Middle Earth. Frodo and Bilbo are also able to go as they are Ring Bearers.
Sam didn't leave with them because he still had his family to care for-he did not wish to leave the Shire. But the Appendices state that he travelled over the Sea years later after Rosie (his wife) died.
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But of bliss and glad life there is little to be said, before it ends; as works fair and wonderful, while still they endure for eyes to see, are their own record, and only when they are in peril or broken for ever do they pass into song.
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