This phrase means that something that’s supposed to be big and exciting can end up being disappointing and anticlimactic. It suggests that even huge and important events can finish unspectacularly and without much to show for it. This can also refer to the end of a long journey, when all of the anticipation and drama of the journey itself has died down. In short, the phrase means that many endings aren’t as powerful as we’d like them to be, and often end quietly and without fanfare.