The last episode of the French/UK series The Tunnel fits the OP’s requirements to a “tee”.
The series is basically a procedural focused on the mismatched partnership of a British policeman, Jack, and a French policewoman, Elise. Each season has a mystery involving kidnappings, murder and general serial bad-guy antics, culminating each season with the identification and capture of the bad guy (it is apparently based, just like the American series, on the Scandinavian series, The Bridge).
Anyway, this season in the behind-the-scenes segments, they kept talking about this third season as the “the final season”. My thought was “yeah, final unless someone decides they can make money wit another season”.
However, in the final episode of the season, the bad guy has put Jack into the classic hero’s position in this kind of tale. The bad guy has captured Elise, kidnapped a dozen or so innocent citizens and summoned Jack (“come alone or thy all die”) to a lonely seaside location where he has rigged a van containing his innocent captives to slowly fill with noxious gas and has rigged an explosive collar on Elise, who is standing between Jack and the van. The killer leaves a cell phone (detonator) for Jack and calls him, telling him that he needs to make a choice. He can save the people in the van (just opening the doors will do the trick) and the bad guy will detonate the bomb on Elise. Or he can detonate the bomb himself, and the bad guy will stop the gas. The bomb, of course, is rigged to go off if anyone tries to take the collar off of Elise.
So, knowing the way these things go, the audience is trying to figure out how Jack will save both Elise and the captives. Jam the cell phone? Spot the bad guy where he is hiding and call in an airstrike? We’ve all seen these scenes too many times not to know that in the end, Jack and Elise stroll off through the flashing emergency lights of the late-arriving cavalry.
So, the standoff is drawing out, Jack is talking to the bad guy and Else, Elise is telling Jack to detonate the bomb and save the hostages, the camera is cutting between the standoff and the people in the van slowly succumbing to the gas, and we are waiting for the (good or bad) deus ex machina.
Then,
Elise, who has been yelling at Jack to trigger the detonator, reaches up to the collar and starts twisting the box that has wires coming out of it. BOOM! No more Elise, just a dark spot on the road…
So yes, I guess they could definitively say this was the last season.