poignant ending
very underrated film indeed, as has been noted.
I have seen it 3 or 4 times now, and I wouldn't pretend that I "understood" the ending -but, a good 50 years after the works of Barthes and co, who would still assume that a work of art has "one meaning" to offer anyway!- so this is how i am tempted to interepret it...
the "I was only making movie" scene (crucially right before the final one) could reveal Monroe's realisation that he has been so engrossed in fiction (producing films) that he has passed by "real life" (the post-modern angle: i.e. people devote more energy, care , love and attention to fiction than to real life).
The girl he truly loves is gone, and he is left with an empty film set (into which he disappears, by the way). "I don't want to lose you", he utters to a ghost-town, not dissimilar to his own never-to-be-finished house. Only emptiness remains. In the last shots, he's all alone.
...then again, let's re-examine the final scene: to whom or to what does he say "I don't want to lose you"? The evidence is before our eyes: the film set, precisely.
I like his final enigmatic smile, which of course reminded me of the one the great man also has at the end of "once upon a time in america".