Not sure if this little philosophical discussion is worth a whole thread, but consider this:
1.)
Liches exist in Magic.
2.) The popular cultural touchstone of the lich is that they put their soul into various items so that they cannot truly die unless those items are destroyed.
3.) WotC implicitly accepts this trope via various
lich-themed items. They also explicitly accept this trope via cards like
Phylactery Lich, that call out phylacteries plainly.
With this in mind two options come to mind:
1.) A powerful lich could, in theory, give their phylactery to a planeswalker, allowing them to "respawn" on whatever new plane the 'walker leaves it on when the lich's body is destroyed on their current plane.
2.) Assuming some metaphysical occurrence prevents the lich from respawning elsewhere, they are stuck on their home plane but are immortal and/or they are stuck in the respawn cycle forever, effectively lost in an endless purgatory.