Fans and critics have offered several possibilities:
1) Sam sees Riggan flying away because he a) always had powers or b) has suddenly developed or actualized them. He flies away as a (magical or symbolic) triumph of some sort (art, celebrity, self-integration, or redemption).
2) Sam thinks she sees him flying away because of a) a schizophrenic break or b) drug-induced hallucination or c) shock. Actually, Riggan is dead on the ground.
3) Sam stoically reacts to her father dead on the ground and looks up, realizing that he will have long-lasting celebrity and/or is finally free from his torment.
4) Sam doesn't know where her father went, but sees the meteor-like object in the sky, which fills her with awe.
5) The whole hospital scene is Riggan's dying thoughts or afterlife fantasy, which begins when he shoots himself on stage. Riggan imagines what he would want to happen.
6) The whole movie is Riggan's dream, or dying thoughts from when he killed himself on the beach, or afterlife fantasy. Riggan imagines what he would want to happen.
7) We are made to imagine what Sam sees. This, like other ambiguous parts of the movie, creates an open-ended interpretation game, and makes the viewer part of the delusion and/or artful solution. One answer to this ambiguity may be to carry contradictory optimistic and pessimistic interpretations of the ending, without needing a definitive resolution to it.
8) We are made to imagine what Sam sees, and then to question what we have imagined. First we imagine her seeing him flying, as a triumph of some sort (art, celebrity, self-integration, or redemption). Second we realize that this is impossible because Riggan's powers have been established as hallucinations; the movie ends with an unreal yet hopeful solution (whether artful, or lying, or winking) to a real and sad problem (in short: a mentally ill Riggan committing suicide to go out 'on top', when really he has "confused being admired with being loved" as his ex Sylvia says).