Each title is a “Final” Fantasy, as in the “last” or “greatest” or “end all be all” fantasy. Check out how all of them end. In accordance with the story, themes and lore, the games end appropriately with the sense of finality to them.
Now, of course, I think this is debatable since we have sequels for Final Fantasy IV, VII, X and XIII. But then again, the sequels seem to top the previous endings. And every ending is a new beginning, even with the ones we don’t see.
Perhaps this is the wisdom of the great Sakaguchi. When it’s over, it’s over.
Even when we say goodbye, for one last time, it may not be the end…