The comet seems to have disappeared from the sky, as of A Dance with Dragons at least. Beyond not being mentioned anymore by the characters, Salladhor Saan, when talking to Davos Seaworth about leaving the cause of Stannis Baratheon and receiving payment for his damaged ships, mentions it:
When Davos had tried to assure him that he would have his payment, Salla had erupted.
"When, when? On the morrow, on the new moon, when the red comet comes again? He is promising me gold and gems, always promising, but this gold I have not seen.
Salladhor's choice of words seems to indicate that the comet is no longer visible in the Westerosi sky, as its "coming again" is used as an example of something which one doesn't know when will happen.