Don't get me wrong I can appreciate a melancholy ending as well but... in this case it makes no sense?

For the whole series Nezumi desperately held on to Shion, refusing to let him go. And in the end he suddenly decides to wander around the world leaving Shion behind? Nezumi even says that there "is nothing to come back to". Did I miss some kind of turning point? Did he actually only use Shion to "destroy" No. 6 and his feelings were not real? Was the author rushed? I don't get it, any theories?

Give time when it's needed

I've read the novels multiple times( I really like this series) and it states many times that

Nezumi is afraid of Shion . The novels go into a lot more of their inner dialogues, so it gives more of an idea of why it ended the way it did, but at the same time I believe that these kind of stories always leave it open for an eventual reunion.
I wish they would release the novels in English officially