On page 168, McCandless writes in the margin of his copy of Tolstoy
"I have lived through much, and now I think I have found what is needed for happiness."
He appears to have reached a point where he understands the purpose of his existence and how to reach contentment.
The quote that we get the title from is an example:
Please return all mail I receive to the sender. It might be a very long time before I return South. If this adventure proves fatal and you don’t ever hear from me again, I want you to know you’re a great man. I now walk into the wild. (pg. 69)
There's also this one:
It is hardly unusual for a young man to be drawn to a pursuit considered reckless by his elders; engaging in risky behavior is a rite of passage in our culture no less than in most others. Danger has always held a certain allure. (pg. 182)
To me, both of these quotes demonstrate that the trip was not a suicide mission, but an adventure to get away from the crazy hustle and bustle.