The narrator awakens at the end of the work to discover that his "journey" to Grey Town and the High Country is a dream. He believes that he is burying his face in his Heavenly mentor's robe but wakes up to find out that it is just an old tablecloth which he has pulled down to the floor with him. The book ends with the narrator acknowledging that he

"awoke in a cold room, hunched on the floor beside a black and empty grate, the clock striking three, and the siren howling overhead."

The last sentence makes it clear that the narrator is in his own study where he fell asleep and wakes up to the harsh reality of the war (War World II) and England's bomb sirens. 

Ironically, the dream ends just as the narrator is about to make his choice between returning to Grey Town or traveling to the mountains (Heaven). One thing to keep in mind in regards to The Great Divorce is that if the narrator were truly in the High Country or Grey Town, he would already be dead. Thus, he cannot "die" at the end of the work. All of the characters who appear in the book are dead--that is how they end up in Grey Town and eventually in Heaven if they choose to stay there.