I'm sure others have noticed this.

I was exploring the far east corner of the map near Riften and followed a road east through a pass and reached a gated entrance but Bethesda doesn't want me leaving Skyrim.

I wonder if this will be a route opened up in a future expansion. Could we be going to Morrowind.?

This has been brought up a lot.
It's either for modders to easily mod other provinces into Skyrim, or there'll be some massive huge [censored]off official DLC that will bring them in.
Hopefully it'll be the latter.

That gate will lead to your own personal castle...I hope.

I somehow doubt they'll make DLC with an entire continent like Morrowind in it.
These were also in Oblivion.

http://www.gamesas.com/index.php?/topic/1291158-all-of-tamriel-built-into-skyrim/

:)

It's pretty cool. Even if Bethesda has no plans for it, modders certainly do.