They are dead in the "real" world.
1) They might exist in some version of the Matrix as AI like the Oracle.
2) The real world is not actually any more real than the Matrix. Perhaps there are firewall realities. If you free yourself from the Matrix you are rewarded with a shittier life. Escape that reality and it's even worse. Your conscience could be many levels deep.
If they went with an idea like that then Neo and Trinity could still be alive out there.
3) They're clones. That would be really lazy but people wouldn't ask too many questions.
4) The Architect said this has all happened before. So again, loopholes have already been established in the original films.
My concern is 2&3 weren't very good compared to the first film. I hope 4 is just a very good stand alone. Don't copy the mistakes of the new Star Wars and try to make another poorly mapped trilogy.