Birdy
(1984)

Al (Nicolas Cage) helps Birdy (Matthew Modine) escape his room in the mental hospital.  The two are chased up to the rooftop.  While Al barricades the roof access door close, Birdy stands at the edge of the roof and stretches out his arms.  Al sees him, screams for him not to jump, but Birdy does anyway.  Al runs to the edge and sees Birdy only jumped to another rooftop just below the one they were on.  Birdy looks at Al and says, "What?", and the movie ends.

Thanks DrummerBrian!