D&D and Kit Harington seem to be pretty adamant about Jon not coming back. Something that would suck, but could actually happen because they seem to go very different routes. He wasn't as hyped up in the show as in the books, where it is clearly established that he can warg and where's way more solid evidence of him being Azor Ahai.
Jon has achieved more than enough like for example keeping the countless amount of people from the free folk from going past the wall while they were still just pissed at everyone and would have probably killed a bunch of people considering how weakened most were/are from the war. Without him there wouldn't be a single person from the free folk where they are now (the ones he saved). And maybe most importantly, he is the one that has discovered the White Walkers weakness (or rather one of them), Valyrien steel. Jon may be dead but Sam is alive with the knowledge that Jon gained. I'm sure they'll make some weapons made out of Valyrien steel.
That might as well be a way to try to set us on the wrong foot. There should be at least two more seasons, so it might be that the doesn't appear in the next one, but then comes back again in the one after. I already mentioned the example of Brandon who hasn't appeared at all this season and neither has Rickon for I think two seasons now. Or he doesn't appear anymore as a human, but goes into Ghost. Another possibility is that they are talking about Jon Snow, but that when he gets resurrected or something like that, that he wouldn't be Jon Snow anymore, but Jon Stark or Jon Targaryen. In that matter there wouldn't be a 'Jon Snow' anymore either, so you can interpret that in a variety of ways.
Another important reason is that Jon so far was the the Point of View character through whose eyes we saw everything that happened on the Wall. Considering what is happening there is crucial for what I assume will be the big final of the series (the coming of the Long Night), who then will keep us up to date there? Sam is gone to Oldtown. Davos? He is also has been a PoV character in the books, but I have my doubts that he's going to remain on the Wall. Mellisandre? Maybe, but I seriously wonder why she would remain there likewise and whether the Night's Watch would be comfortable with having Stannis' witch living there. This is something that was brought up in the books where Ramsey Bolton demanded Jon to deliver Mellisandre, among others, to him.
And realistically discovering that Valyrian Steel can kill White Walkers has at this point almost no value. The secret of making Valyrian Steel has been lost for centuries. There has been no person alive since the Doom of Valyria who could create it. You only have a handful of people who can work with already existing Valyrian weapons, but that's about it and even during the days of Valyria the people who could create it, were limited. On top of that Valyrian weaponry is extremely rare and extremely valuable, something that was already the case during the era of Valyria. The Valyrian heirloom of the Lannisters had been lost for a long time now, so Tywin Lannister tried almost his entire life to buy a new Valyrian weapon, but no one wanted to sell him no matter the price. He even said that most houses can't wait to give away their sons and daughters to get married into the Lannister clan, but no matter how poor they are, they won't sell their Valyrian weapons. There are barely a few hundreds left in Westeros, not even enough to equip a small army with, and 99% of the people who own them, will not part with them.