That's why terrorism is difficult for countries to deal with and why countries often don't even try, if they are able to try. So long as they target someone else, terrorists are often left alone as a lost cause. The very 'facelessness' of some terrorist groups is what makes them such a useful instrument to nations which cannot risk openly using arms against other nations. Using a terrorist group as a weapon has in the past shielded states like Iran and Syria from being targetted by those whom they attack. Only in the case of Lybia and Afghanistan, and to a lesser degree, Sudan, has this safety-by-denial not been foolproof. Iraq might join them eventually, and Iran.
As for this guy, I still can't figure out if he was convicted in absentia in Egypt, or if he was convicted in person and somehow escaped into Italy. I don't know if he entered Italy illegally or legally but one article implies he had obtained refugee status... why, I don't know. He may have done so under an alias, he may have gotten it because Italy may have a PC policy on extraditions back to Egypt due to human rights issues, he may have slipped in without anyone checking his ID, or he may have entered Italy before his conviction and been in hiding. All the reporters appear to know is that he was sent a letter telling him to cross into Afghanistan from Iran and after that, he left Italy, perhaps to go to Afghanistan as the note and maps implied, or perhaps elsewhere, and that since then no one has had word on him except he possibly died in Afghanistan. How would someone know he 'possibly died' in Afghanistan? Well, it could be that a corpse which looks just like him was photographed, but concrete proof doesn't exist since we may not have fingerprints or other foolproof records to make sure (since we have been photographing prisoner and corpses that is a possibility) ; or it could be he was seen entering but not seen since and people are just assuming.
Unless he is heard from again, it is reasonable to assume he is dead, though it is not an absolute surety. If we hear from him, or hear others trying to reach him get answered, then we will try to nab him, obviously... and if we don't, then it's probably because he is still hiding, and if hiding, then he ain't doing much more than he would in a prison cell. (Admittedly, after the first WTC bombing, we had one of the SOBs in a prison cell and his lawyer was apparently playing gopher to help plan more attacks.)
The silence is terrifying to the pessimist, but to the optimist it is a good sign. It all depends on which one you are.
The nature of terrorists is such that by the time you track down all of their aliases, they have already adopted a new identity and changed locations. The best we can expect for the majority is to hear silence. We won't be lucky enough to get them all back in identifiable condition, obviously; and we won't be able to simply 'arrest them' nor would we want to do so. Arrests cost money and tend to let them go after mistrials, wimpy convictions, and early release. Turning them into gound breakfast sausage may not be as emotionally satisfying as taking their scalp or ears as proof, but it is highly effective and cheap. We will miss some, true enough, but we will get more of them this way than if we try any other alternative. Not that I've heard any other alternatives but the plaintive folks on the left who want to give up and do nothing at all.