Prophecies on Game of Thrones should never be taken lightly. That's why Varys was probably so shaken by Melisandre's parting words to him. So will Varys die on Game of Thrones? Unfortunately, it seems like his fate is sealed.
When Jon Snow and Ser Davos arrived at Dragonstone, it wasn't surprising that Melisandre made herself scarce. The last time she saw them, she was told to leave Winterfell and if she ever returned she'd be put to death for killing Shireen. No doubt, even though they were far from Winterfell, Melisandre wasn't ready to test if that promise extended to all of Westeros.
So instead she was "hiding on a cliff," as Varys put it. The two then got into a little war of words and Melisandre made it clear that she was leaving Westeros... for now. Though Varys warned her she shouldn't return, with an added little threat for good measure, Melisandre made it clear that she has no choice but to return.
"I will return, dear Spider. One last time," she said. "I have to die in this strange country, just like you." Varys was obviously shook by this revelation and it's clear he believes it, as do most fans.
Though Melisandre's guesses about who was the Prince Who Was Promised have been a little faulty in the past (Stannis was clearly way off base), she clearly is tapped into the Lord of Light's power. She did bring Jon back to life after all, and let us never forget that dark smoke baby creature she gave birth to way back when.
Therefore, it seems fair to assume Melisandre wasn't messing with Varys; she was actually just telling him another prophecy. However, what could possibly lead to Varys' death?
He's sitting pretty right now, working alongside Daenerys in Dragonstone. Still, it's clear Daenerys is currently losing the battle for the Iron Throne, so possibly Varys will die in this war. However, the way Melisandre said it, it sounds more like Varys has to die in order for something to happen, like a sacrifice. His death doesn't sound like it'll be some random accident; it sounds more like destiny.
Is it possible Varys' death somehow falls in line with the Prince Who Was Promised prophecy? The story of Azor Ahai, the legendary hero who the Prince Who Was Promised is the reincarnation of, states he killed his loving wife to make his sword into the Lightbringer. Though Varys is obviously not a woman, nor in love with anyone, could it be possible that Varys' death leads to the creation of this powerful weapon? Fans will just have to keep watching to find out, but consider me intrigued.