According to Osho, yes - the pilgrimage continues, but the pilgrim dissolves. After enlightenment (and even after the body is gone), the personal "doer" vanishes; only the movement, the dance, the song - life's divine flow - remains. The ego is fiction; reality is the pilgrimage itself. Meditation reveals this by letting the mover disappear, in utter stillness or ecstatic dance.
When a wise person dies, the "me" is gone but life’s dance keeps moving without a dancer.