In the film, so far as I recall, they definitively call this the last ship, so if Celeborn didn't go, he'd never get to the Undying Lands (a bit worrying where this leaves Legolas!) They are clearly simplifying like mad, and thought it would be unnecessary to elaborate on the longer-term fate of elves in Middle-earth. Leaving him out might well just create needless distracting questions at the end. Anyway, he was probably standing in for his relative Cirdan. I'm not sure I'd put money on him getting any lines in the EE, though. However, I would expect the Grey Havens to be a longer scene, with more about the Three Rings (Gandalf's was clearly visible, although not mentioned).
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