"Teddy" explores many tenets of Eastern religious philosophy, but most importantly the idea of reincarnation. Main character Teddy McArdle insists that death is merely the death of the body; the soul continues on to its next life. At the end of all of these lives, Teddy explains, man gets to stay with God instead of returning to a mortal life. (The text cites this as the "Vedantic theory of reincarnation.") Because of this belief, Teddy maintains that death is nothing tragic, nor even sad. The readers are taught to accept death with detachment, rather than grieve it.
Despite Teddy's insistence that emotions are useless and death is nothing, Salinger intends his readers to feel sad at the end of "Teddy."
The ending of "Teddy" is anything but tragic; Teddy himself has taught the reader that death is not anything to lament.