My guess is--they tried to move the easterlings against Sauron like Gandalf did, but could get nothing out of it so they went AWOL. Similarly to Radagast (if my memory serves me right) they did not get to go back to Valinor. So therefore, they must have abandoned their quest (or been killed by something/someone unnamed and horrible).
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"I come from yonder...Have you seen Baggins? Baggins has left, he is coming. He is not far away. I wish to find him. If he passes will you tell me? I will come back with gold." - Khamul the Easterling
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