The term "sigh" used here is deliberately neutral; it does not denote sadness or joy, but simple reflection. The narrator is thinking on a choice he made, a deliberate decision, one which defined his own life. This may be good or bad; it is never clarified, although the general tone of the poem is positive. The narrator echoes his own opening lines in the last stanza to show how he has been shaped by his choices:
Two roads diverged in a yellow wood,
And sorry I could not travel both.
I shall be telling this with a sigh
Somewhere ages and ages hence:
Two roads diverged in a wood, and I--
I took the one less traveled by,
And that has made all the difference.
(Frost, "The Road Not Taken," bartleby.com)
His sigh is entirely ambiguous; he is not explaining his motivations or the results, but only that he made the choice where others may have not. Instead of taking the "safer" path, the one where many more travelers have gone, he takes "the road less traveled by," for reasons unknown. This means that his life is defined by his desire to go somewhat against the flow of society; his sigh may be of regret, or of relief, but it is the reflection of his decision. While he does not sigh at the moment of decision, he will later, because in hindsight he will be better able to understand his decision and how it has affected his life.