Joe,
Here's my interpretation of the ending of Truffaut's "Jules et Jim." First some general background for those who don't know the film. Jules and Jim come to be friends through their work (they translate each other's writing -- one is Austrian, the other French). At the opening of the film the time is the belle epoch of pre-WWI Paris. Into their friendship comes the beguiling and fetching Catherine. (The film is worth renting, imo, if nothing else than to see the performance of the inimitable Jeanne Moreau at the height of her cinematic powers.) Catherine becomes lovers first with one man, then the other, and eventually the arrangement becomes a menage a trois. (I'm not giving anything away; it's not a "surprise" kind of movie.)
As for Catherine's final act, let me say a few things about what I think of her character. For one thing, I think the title in and of itself is revealing of Catherine's nature as in, she isn't there -- in the title, that is. Even though Catherine is the key character in the film, she's not even mentioned in the title. My opinion is that without Jules and Jim, Catherine has no character. Like many women, she loses herself in the men she loves, but Catherine does so to an iconic extreme. Throughout the film, Catherine takes on many different personas: tender, intellectual, harpy, even masculine, as if she were playing roles of herself to see how much she can get away with. Ultimately I think the reason the film is not entitled "Catherine" is because her personality is empty. Catherine really puts Jules and Jim through the ringer, yet she (and we, the audience) knows they will stay with her. The only person who is not there for Catherine is Catherine herself. Also, I think one of the existential questions Truffaut deals with is the ultimate dissatisfaction with romance. One lover is never enough; two lovers is too many.
As for the ending, note that the atmosphere of gathering gloom with which the film ends matches the storm clouds gathering over Europe for WWII. "They left nothing behind them," is the commentary's epitaph after the death of Catherine. The chaos of life continues, but not the world made up of these three friends and lovers.
I think of Catherine as an embodiment of the spirit of her time, sinking into fascism, or perhaps of the existentialist philosophy that grew out of a despair caused by too many wars. Notice that just prior to her last desperate act, which strikes me like an artist slashing her own canvas, she was seen a book burning in a newsreel. To paraphrase Kurt Vonnegut, "If they start burning books, you can bet that soon they will be burning people." I think Catherine has never faced the true reality and true cruelty of war until that moment. Also, she is older. The spirit and idealism of her youth has been burned out by war. There were several occasions for the youthful feeling of "This is the war to end all wars" and yet here comes another one. Without a strong internal self to shore her up, the realization of a bigger, deadlier, longer war cranking up is more than Catherine can bear. She is used to living through her lovers, but what are they in the face of war? Catherine takes herself away before war can take her.
Catherine is a mystery to be sure and these are just my musings on your question. Certainly there are other far more insightful evaluations. But "Jules et Jim" is a great film to be sure and considered by many to be the apex of the French New Wave Cinema movement. Even if you don't like subtitles, the movie is visually stunning as well, imo.
A rental double feature suggestion from RgirlMovies

is "Jules et Jim" and Fellini's picaresque "Nights of Cabiria." The musical "Sweet Charity" was based on "Cabiria," it stars Fellini's wife, the glorious and charming Guilietta Masina as Cabiria. Where "Jules et Jim" is about a woman who ultimately cannot deal with the vicissitudes of life, "Nights of Cabiria" is about a woman for whom vicissitudes are just another day at the office. Although both women are dependent on men, Cabiria's indomitable spirit is the polar opposite of Catherine's. I don't mean to paint "Jules et Jim" as gloomy; most of the movie is full of idyllic and delightful scenes, unforgettable ones, too. It's just that "Nights of Cabiria" is downright funny, even in the face of a tragic life for the title character. And with faces like those of Jeanne Moreau and Guiletta Masina, who cares about subtitles? Finally, one is a classic of the French New Wave, the other is a classic of Italian Neorealism. Get some pizza (I know, it's not really Italian) and a good bordeaux and enjoy!
I hope I addressed your question, Joe.
Rgirl
PS to Heyang: Picky note re the original "Cape Fear": It's Robert Mitchum, not James (I do the same thing all the time with actors' names; I drive myself nuts).