While Thoreau spends quite a few pages explaining the rationale behind his "private experiment" by Walden Pond, he gives us very little explanation as to why he ultimately leaves: "I left the woods for as good a reason as I went there," he writes in his "Conclusion." "Perhaps it seemed to me that I had several more lives to live, and could not spare any more time for that one" (Conclusion.4). Life at Walden Pond had become routine, a "beaten track," and he was no longer interested – which is another way of saying he just got bored.
Boredom can be a good thing, though. It's a kick in the pants, telling you that you've become too settled and complacent, luring you out into the world to try new things. After his experiment at Walden Pond, Thoreau would go on to continue his work with the abolition movement and write other naturalistic studies. And perhaps he was able to do so with a greater confidence and conviction than he had before he came to Walden Pond.
It's also a fitting ending for a conclusion that is mostly directed at the reader. "Don't obsess about me," Thoreau seems to be saying, "Who cares about my reasons for leaving? The important question is what you are going to do now that you've read my book."