"Lord of the Rings" sequel!

[Ibrîniðilpathânezel]

There is also the partial poem mentioned in the Istari chapter of Unfinished Tales:

Wilt thou learn the lore that was long secret
Of five who went to a far country?
Only one returned, others never again

Since we know for a fact that Gandalf returned, it's safe to say that for whatever reason, the Blue Wizards never went back to Valinor. Tolkien also says that only Gandalf was successful in carrying out his mission (letter 156, "Gandalf alone fully passes the tests, on a moral plane, anyway."). That's pretty clearly stating that the downfall of the other four wizards somehow involved a moral choice and thus a moral failure, to which Gandalf alone did not succumb. The Blue Wizards didn't simply get into a fight with Sauron on his minions and die. They did something wrong that led to their fall, that was somehow a deliberate choice to abandon their mission so that they did not return to Valinor, physically or as disincarnate Maiar. I seem to recall reading somewhere (probably one of the HoME books) that they were led astray by the worship of Men in the east, but I may be misremembering.