IIRC, Magnum was killed off at the end of the MPI series.
You're thinking of the ambiguous ending of the preceding season, where Magnum is injured and in a coma. Apparently it was written as a possible finale, when the network was dragging its feet over renewing the show for another season.
The last episode of Magnum involved him finding his daughter (who he thought dead) - and reenlisting in the US Navy. That's why Tom Clancy was interested in reviving the story in a feature film. Pity that never worked out.