Why must The Great Gatsby end with Gatsby's death and Nick's return to the Mid West?
The short answer is that it ends this way because that's how Fitzgerald wrote it. I wouldn't say it necessarily had to end that way, that the Author is infallible or that "destiny" played a role in writing the book or that "destiny" is the inherent theme in the book, because "destiny" is not the theme. Individual choices are.
The actions, themes and context do, in fact, lead to an inevitable conclusion; or at least, a 'not so happy' ending. Although Gatsby was charming and only in search of love, his 'ends justify the means' eventually backfires; being involved with Wolfsheim, pursuing a married woman, etc. Tom was equally guilty, if not more so. These characters, sans Nick and Mr. Wilson, are a yuppy, rich class, living carelessly and in excess, the overindulgence of the 'American Dream.' For Gatsby, his dream is relatively innocent and naïve but he justified it living through this careless world to get there. Gatsby died because of all these colliding careless actions in that 'end(American Dream) justifies the means' world. This behavior calls to mind an insular reality show contestant who does whatever he/she can to win because, as they selfishly say 'that's how you play the game, this is a competition, etc.'
Nick went back to the Midwest to get away from that world. And it is poetic or fitting since that is where Gatsby came from. And remember, back then, Gatsby (Gatz) was like Nick; honest, uncorrupted. This is all about the illusive American Dream, and the justifications people may make in order to pursue it. The 'move West' also recalls the early explorers, Pilgrims, etc. in search of a New World (Am. Dream). But, it also recalls manifest destiny, which may be more fitting for this novel's end.