Syrio’s fate is completely unknown. However, speculation runs between his having been killed, his having been imprisoned, and his having been merely a disguise of a Faceless Man who was thrown into the black cells, changed into Jaqen H’ghar, and is now at large in Westeros.

It is interesting to note that on three separate occasions when asked about Syrio’s status, GRRM has managed not to answer the question (EHC, D&D, and the AOL Book Reporter chat). This may be coincidence.