Kit Harrington said he is not going to be in the show next year, for whatever that's worth.
The actor may not be appearing next season, and his character may even technically be dead. This is a fantasy story, though, so none of that really means shit.
After abandoning Stannis, Melissandre had no reason to return to the Wall - unless it was to get her hooks into Jon. One way or another, he'll be back ...
And the books did exactly the same kind of thing. In two of the books, only some of the major characters ever appeared, while others did not (Tyrion wasn't in one of the books, Jon wasn't in one of the books, etc.). There was just so much going and so many storylines that Martin separated them into two books. And I'm talking about two fat 1000+ page books ...
They've got several storylines they can pursue next season that were never touched upon at all this season. Asha & Euron Greyjoy (and the rest of the ironborn), Gendry Storm (Robert Baratheon's bastard), Lady Stoneheart (i.e. undead Catelyn Stark) and the Brotherhood without Banners.
Hell, maybe even the Hound will be back (I'm not so sure he's "really" dead, either) ...
ETA: And speaking of undead Catelyn Stark - recall that it was Thoros of Myr who "bought her back" from the dead.
Thoros worships R'hllor, a.k.a. "the Lord of Light" - the same god Melissandre follows.
Thoros fished Catelyn's body out of a river several days after she had died.
At worst, Jon is only very "freshly" dead - and Melissandre is a lot more potent & powerful than Thoros ...