At the end of Room, Jack convinces Ma to return to Room. She sure does not want to go back to that place, but she eventually concedes and contacts Officer Oh to take them back to Room one last time.
Earlier in the novel, on Jack's birthday, Jack takes the M&Ms off his cake and leaves little craters in the icing, which Ma defines as "holes where something happened" (1.260). At the end, Jack sees Room as a crater. He's nice enough to remind us that this is "a hole where something happened" (5.1131), and then he and Ma go out the door. Sure, it was traumatic, but it was something that happened that defined Ma and Jack's life, and that brought Jack into existence. They wouldn't be together if it hadn't happened. Just as the removing the candies signaled the end of Jack's birthday, closing the door on Room signals the end of a huge chapter of Jack's and Ma's lives.
Jack realizes that he's outgrown Room. "Has it got shrunk?" (5.1158) he asks. (Still need to work on syntax, buddy.) He may have grown a little physically, but more importantly, he's grown a lot emotionally. He's seen the whole big world (or at least a globe) at this point, and he realizes just how small Room was. There's a lot more for him in the world. Seeing Room one last time, Jack realizes that it'll always be a part of him, but it's okay to leave it behind.