I've often wondered this myself. Hyrule, in its many incarnations, has had radically differing geography from one map to the next, particularly the early games bear little resemblance to the common map of Hyrule today (that started with ALttP). References have been made to other lands. Even within games, some regions have been considered to be beyond the borders of Hyrule, such as the desert, with no reference being made to any world at large. That is, whatever it may be referred to as, and not many denizens of the various lands mention other lands beyond their borders so knowledge of other lands may be largely nonexistent. Some regions of Hyrule have very nondescript borders, such as whatever may lie beyond the forest or desert in Ocarina of Time. Not counting the first two games, Hyrule has no coastline, and there are only a few places that may act as passages beyond the known map of Hyrule.
Not only that, but the method of passing across borders varies. Link left Hyrule by boat in Links Awakening. By Triforce "teleport" in the Oracle games, and through a "tree tunnel warp" (for lack of anything else better to describe it) in Majora's Mask. Where such places might exist in relation to Hyrule is anyone's guess.
I've always admired the Ocarina of Time map best. I think it illustrates a possible answer to this question best. The edges of the map, beyond the explorable known areas of Hyrule, are indicated by clouds. The quintessential "fog of war". Who knows what Hyrule might be "on". There is no mention of curvature of the landmass, that I know of, so it may or may not be a planet.
In any case, this is a notion I've often wondered myself. As with many unknowns about the Zelda universe, I have no solid answer for it.