What is the last scene supposed to tell us?

You weren't the only one wondering that; the ending perplexed many. But the film's director Scott Cooper explained it in interviews, like this one. Here's the gist:

After being thwarted by law enforcement officials, Russell kills Harlan DeGroat (Woody Harrelson), the meth-addicted crime boss responsible for murdering his brother, right in front of the local sheriff (Forest Whitaker). Cooper then cuts to Russell sitting quietly in a living room, before fading to black. "It's an homage to 'The Godfather Part II,'" Cooper said, referring to the final shot of Francis Ford Coppola's 1974 Best Picture winner.

"This is a man who is battling his soul and living with the consequences of violence. When he went to kill Harlan DeGroat, he thought he could have gone to prison or be killed by the police. He never thought he would get off and that the sheriff would ultimately say, 'Let me make this right.' And he does," Cooper said of the finale of his film, which takes place at an undated point after Russell has murdered DeGroat. "This is a man who, whether he is [in] prison or not, he's in prison for the rest of his life. Hopefully he will find peace and contentment at some point. I'm a very optimistic person, I hope that, ultimately, Russell Baze does find that."

So the ending simply shows us how Russell, like Michael Corleone in The Godfather Part II, will have to live with what he did (and reflect on it) for the rest of his life.

It's obvious that Russel Baze wasn't arrested after killing DeGroat. The Sherriff stole the love of his life while he was in prison and therefor he let him go to make up for that, also knowing all the misery Russel went through and that DeGroat was nothing but bad news it was the only righteous thing Wesley could do. Russel is dealing with enough misery as it is also outside prison.

If he were sent to prison then he would look older. He does not really look older so it is likely that he did not go to prison.

If you remember when he was in prison he would write letters and stacked them up..as if never mailing them. That's the letters are on the table. Wesley never told a soul what really happened out there. First Russel got rid of a scumbag..2nd,yes like they said he stole his women..he knows she loves Russel and his life would be unbearable if he sent him away..she may leave him...a lot of reasons which are really obvious why he didn't.

I believe Russell being distraught on accidentally killing that child in the auto accident, then dad dying while Russell serves prison, losing Lena the woman he loves, loosing his brother an friend Petty an the old guy that degroat shot in the back room, after Russell shot an killed Degroat remember that dope Russell bought from degroats dope house,, he went home. he sat down at the table stuck the needle in his arm an you know the rest (Overdosed) on purpose.........