Actually I think it does, they say in the movie, " And like that he was gone. Underground. Nobody has ever seen him since. He becomes a myth, a spook story that criminals tell their kids at night. “Rat on your pop, and Keyser Soze will get you.” And no-one ever really believes."
But then there is…
“Who is Keyser Soze? He is supposed to be Turkish. Some say his father was German. Nobody believed he was real. Nobody ever saw him or knew anybody that ever worked directly for him, but to hear Kobayashi tell it, anybody could have worked for Soze. You never knew. That was his power. The greatest trick the Devil ever pulled was convincing the world he didn’t exist. And like that, poof. He’s gone.”