Loki dies, but it is never as simple as that.

"Loki smiles, his mouth stretching into a monster's grin, sharp teeth and poison, and though he feels like he could cry and break into pieces and never rise again, well, it doesn't matter anymore. The gun is still in his hand, his fingers wrapped tightly around it as if trying to find some comfort in it, but he doesn't even feel it anymore, he feels nothing now."