One of things I've really noticed is the difference between a good plot and a good story - especially when it comes to roleplaying games or, heck, a television series. Sometimes what might be realistic or interesting story-wise can end your plot threads and provide too much closure.
If you want to play a game indefinitely then closing off your options is a bad idea. Sometimes you can find that you've painted yourself into a corner plot-wise and the next bit is either going to be very dull or very strange.
Normally the issue revolves around conflict. Perhaps the main conflict has become resolved or, worse, isn't really resolvable. Maybe you can introduce a new conflict but that could change what people were looking for and reduce the fun factor of the game. Or you might just not be able to think up anything interesting for the campaign anymore.
It hasn't come up with me much but it has a couple times. What about you? Ever had the plot wind down due to poor choices or just the plot resolving itself too soon?