The last scene shows Vic in the FBI cubicle, pulling his personal weapon out his desk draw, putting it into has back holster, and walking out (with what looks to me like a defiant, grim expression).
Where is he going?
I think he's still in the game, and will never cease and desist from pursuing his goals.
In particular -
Vic will not stand still and see Ronnie go to prison. Vic can still talk to Aceveda, and though the photos of Acevada's mortifying moment are gone, Vic can still compel Aceveda to help him, given that Vic has pretty much figured out that Aceveda had the guy who forced him to get on his knees killed. Once Acevada becomes Mayor, he'll be in an ever better position to help Ronnie behind the scenes.
I don't think Vic will sit still and have no contact with his family, either. Cassidy on her own might reach out to him. And there's no one better than Vic to doggedly track someone down.
The FBI may have his soul from 9 to 5 in that lifeless office. But once the clock strikes 5, Vic will be back out on the street, slowly putting the shattered pieces at least partially back together.
5-min podcast predictions about The Shield
See also The Shield in Perspective (no spoilers)