Game of Thrones is no stranger to cryptic convos, but one in particular during Season 7, Episode 3 "The Queen's Justice" threw fans into confusion. After successfully uniting ice and fire by convincing Daenerys to bring Jon Snow to Dragonstone, Melisandre didn't bother joining the welcome caravan at the beach to greet him when he, Ser Davos, and the gang from Winterfell arrived. Instead, she was brooding on a nearby cliff, which is where Varys found her and initiated the aforementioned cryptic chat. In it, Melisandre admitted she was leaving but why is Melisandre going to Volantis on Game of Thrones?
Well, first of all, she had a very good reason to stay away from the King in the North and his most trusted advisor. Ser Davos was a loyal and loving subject of Princess Shireen Baratheon. Who could forget the scene where greyscale-stricken little girl teaches him to read in the dungeons?! Of course, Shireen met a grisly end by Melisandre's hand. Her father Stannis burned her alive as a sacrifice to the Lord of Light because Melisandre told him it was what the Lord commanded. The kicker? Stannis and his armies were defeated anyway. So Davos has a dragon-sized bone to pick with Melisandre and swore to kill her if he ever saw her again. She was smart to hide.
As for what meaning Volantis holds for her, it's where the Temple of the Lord of Light is located. Plus, it's back in Essos, which is Melisandre's homeland — she's from Asshai. The Red Priests and Priestesses have been prophesying Daenerys as the world's savior for several seasons now, so fans are theorizing that Melisandre is heading back to Volantis to shore up an army of Red Priests and Priestesses who may be able to fight the Night King with fire. The idea is that Melisandre would show up on the shores of Westeros with scores of fire worshippers to rescue Daenerys, Jon, and the living against the army of the dead at the eleventh hour.
Also keep in mind that Dany's dragon eggs come from the Shadowlands beyond Asshai. It's possible that Melisandre is on her way back to Essos to find and hatch more dragon eggs for Daenerys' brood. That, too, would be a huge help in the war to come. As for Melisandre's predicted death in Westeros, that's probably a reference to the fact that she's on Arya's kill list. So when she returns to Westeros to win the battle, she'll likely finally be taken out by Arya. We may not see her for awhile, but Melisandre still has the potential to be super important to the story.