I can't really see this. The end of an adventure may be in one game, but that doesn't necessarily mean the end of Link's story. Most Links go off to have even more adventures. The concept of creating a sequel isn't that hard in terms of story creation, as all you have to do is ask "what happened after happily ever after?" This is why AoL, MM and PH exist. You could easily create a sequel to Twilight Princess if you wanted to and it could have nothing to do with the Twili or Hyrule for that matter. All you need is the protagonist to keep venturing.
I should've gotten back to this earlier, but...
To the bolded part, that's the thing with Zelda's sequels: the folks typically weren't happy after the fact. In the case of
Ocarina of Time, Link wasn't happy - his fairy left him for no (onscreen?) explained reason, and he was also left with the fact that he wasn't even a true Kokiri. Thus we got
Majora's Mask as a followup to OoT, in all its glory. Using OoT as a sort of splinter,
Twilight Princess was introduced to further that Hero's story which wasn't quite done at hte end of OoT; I mentioned that he knew that he wasn't a Kokiri, and that's where the Hero's Shade stuff comes into play.
The same sort of stuff can be said for
Wind Waker. In that game, we're explicitly told that Link and
his amazing girlfriend Tetra are supposed to find a new land --
their land. Because they are shown going out on the pirate ship towards the end (iirc?), and even when we see that the King of Red Lions is no longer possessed, we get the games
Phantom Hourglass and
Spirit Tracks.
What I'm trying to say (and this won't come out right ;p) is that a sequel needs a solid handle in order for it to exist within reason. Otherwise, we get into the realm of 'sequel just because' and no one wants any of that!