This article came out right after the episode aired is therefore not a spoiler:
Suddenly, the wind started blowing, and Katherine was sucked into oblivion.
"It's unlike anything we've seen before," executive producer Caroline Dries tells TVGuide.com. "We've seen characters appear to Bonnie [Kat Graham], the anchor, and go through Bonnie and that's their initiation into the other side. When Katherine died, that didn't happen and [instead] she's ripped out of Bonnie's arms and sucked into wherever by some dark void. We don't say anything religious like Heaven or Hell, but that's the implication — she's going to a dark world."
As the series has shown countless times, a character can die and come back to life, but Dries says this isn't their way of keeping Katherine around and they don't intend on delving into this darker world.
This show is known for bringing people back to the dead, so death didn't ever feel final; they could hop over from the other side if we feel desperate. So we wanted to say, 'No, she's gone.'"
Katherine has been so instrumental to all the story lines this season and at some point it has to end — but it has to matter. So that's what we did and then we threw a twist in there to shock people a little bit."