What is special about "The Tempest" being the last of Shakespeare's plays?
The substance of your question has been addressed in the first link below, "Did Shakespeare intend The Tempest to be his last play?"
There are, however, a few more hints of what might be called a sense of finality in The Tempest than the above posting references. Prospero's final speech seems to be a farewell to more than the play -- it is dramatically unnecessary for him to beg the audience for mercy, and say that his mission was only to entertain them.
Gentle breath of yours my sails
Must fill, or else my project fails,
Which was to please. Now I want
Spirits to enforce, art to enchant;
And my ending is despair,
Unless I be reliev'd by prayer,
As you from crimes would pardon'd be,
Let your indulgence set me free. (Epilogue, my emphasis)
Moreover, this tone is shared by some of the things he says earlier, including the most famous lines in the whole play:
Our revels now are ended. These our actors,
As I foretold you, were all spirits and
Are melted into air, into thin air:
And, like the baseless fabric of this vision,
The cloud-capp'd towers, the gorgeous palaces,
The solemn temples, the great globe itself,
Yea, all which it inherit, shall dissolve
And, like this insubstantial pageant faded,
Leave not a rack behind. We are such stuff
As dreams are made on, and our little life
Is rounded with a sleep. (IV, i)
Thus, gently contra the argument referenced below, I think that The Tempest is indeed meant as a farewell by Shakespeare to his career in the theatre.