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When
Professor Dumbledore is killed and falls from the Astronomy Tower,
Fawkes the phoenix is nowhere to be seen. IIRC, we don't see Fawkes in DH, so what happened to him?
Did Fawkes just fly away or is he living on the grounds? Where did he go?
He's a rare and loyal bird, so did he end up living with Harry and his family?
After Dumbledore died, Fawkes's grief was apparent:
Gulping, Madam Pomfrey pressed her fingers to her mouth, her eyes wide. Somewhere out in the darkness, a phoenix was singing in a way Harry had never heard before: a stricken lament of terrible beauty. And Harry felt, as he had felt about phoenix song before, that the music was inside him, not without: It was his own grief turned magically to song that echoed across the grounds and through the castle windows.
—Harry Potter and the Half-Blood Prince
Later, Harry noticed that Fawkes was done singing his lament, and concluded that he had left.
“Dunno,” said Harry, lying back on his bed fully clothed and staring blankly upwards. He felt no curiosity at all about R.A.B.: He doubted that he would ever feel curious again. As he lay there, he became aware suddenly that the grounds were silent. Fawkes had stopped singing. And he knew, without knowing how he knew it, that the phoenix had gone, had left Hogwarts for good, just as Dumbledore had left the school, had left the world . . . had left Harry.
—Harry Potter and the Half-Blood Prince
However, it is possible that Fawkes left somewhat later. He may have remained for the funeral, although it is ambiguous.
White smoke spiraled into the air and made strange shapes: Harry thought, for one heart-stopping moment, that he saw a phoenix fly joyfully into the blue, but next second the fire had vanished. In its place was a white marble tomb, encasing Dumbledore’s body and the table on which he had rested.
—Harry Potter and the Half-Blood Prince
Why didn't he stay?
Fawkes has always been associated with Dumbledore. He flew to Dumbledore after saving Harry in the Chamber of Secrets:
Professor Dumbledore was standing by the mantelpiece, beaming, next to Professor McGonagall, who was taking great, steadying gasps, clutching her chest. Fawkes went whooshing past Harry’s ear and settled on Dumbledore’s shoulder, just as Harry found himself and Ron being swept into Mrs. Weasley’s tight embrace.
—Harry Potter and the Chamber of Secrets
Indeed, as an indication of the strength of the bond between Fawkes and Dumbledore, the latter's Patronus is a phoenix:
Question: What form does Dumbledore’s Patronus take?
JKR: Good question. Can anyone guess? You have had a clue. There was a little whisper there. It is a phoenix, which is very representative of Dumbledore for reasons that I am sure you can guess.
Fawkes was called to the Chamber by the strength of Harry's loyalty to Dumbledore.
“First of all, Harry, I want to thank you,” said Dumbledore, eyes twinkling again. “You must have shown me real loyalty down in the Chamber. Nothing but that could have called Fawkes to you.” He stroked the phoenix, which had fluttered down onto his knee.
—Harry Potter and the Chamber of Secrets
This, more than anything else, demonstrates that Fawkes and Dumbledore are in some sense interchangeable. Loyalty to Fawkes is loyalty to Dumbledore, and vice versa. As indicated in this answer, the authorial reason for Fawkes's departure was that "something had to leave the school" when Dumbledore died. It goes beyond that, though: the departure of Fawkes is essentially the departure of Dumbledore.
Fawkes and Dumbledore had had a great deal of time to develop such a connection. They had most likely been together since before Voldemort purchased his wand:
“Exactly,” said Dumbledore. “Harry’s wand and Voldemort’s wand share cores. Each of them contains a feather from the tail of the same phoenix. This phoenix, in fact,” he added, and he pointed at the scarlet-and-gold bird, perching peacefully on Harry’s knee.
“My wand’s feather came from Fawkes?” Harry said, amazed.
“Yes,” said Dumbledore.
—Harry Potter and the Goblet of Fire
This would have been nearly 60 years (from 1938 to 1998). In many ways, Fawkes was Albus Dumbledore's closest friend. For a phoenix, a generally independent creature, to spend sixty years with a wizard speaks to the depth of their friendship. Fawkes and Dumbledore had decades to build their relationship. Harry had known him for only a tenth of that time, and barely interacted with him.
Fawkes was Dumbledore's friend: not Harry's, not the Order's mascot. He stayed at Hogwarts out of love for Dumbledore.
When his friend died, Fawkes had no reason to remain.
Note: Image not from Half-Blood Prince
Fawkes left as JK Rowling's sign that something permanent had to leave the school when Dumbledore died.
In her 2007 web chat with The Leaky Cauldron, she said:
"Something had to leave the school for good when Dumbledore died, and I decided that would be Fawkes. Dumbledore was a very great and irreplaceable man, and the loss of Fawkes (and the fact that he was 'non-transferable'!) expresses this symbolically."
While Phoenixes do make "very faithful pets",
Fascinating creatures, phoenixes. They can carry immensely heavy loads, their tears have healing powers, and they make highly faithful pets.
(Harry Potter and the Chamber of Secrets - Chapter 12 - text available on Pottermore)
their loyalty is only to their owners. Fawkes's loyalty was to Dumbledore.
When Harry has previously seen the study with a different headmaster he saw it with Dippet and Fawkes was not there then. Fawkes is Dumbledore's possession, not a Hogwarts possession.
(Edinburgh "cub reporter" press conference, ITV, 16 July 2005)
Very few wizards have ever succeeded in bonding with a Phoenix.
The phoenix gains a XXXX rating not because it is aggressive, but because very few wizards have ever succeeded in domesticating it.
(Fantastic Beasts and Where to Find Them)
Fawkes Left
As he lay there, he became aware suddenly that the grounds were silent. Fawkes had stopped singing. And he knew, without knowing how he knew it, that the phoenix had gone, had left Hogwarts for good, just as Dumbledore had left the school, had left the world ... had left Harry. -The Phoenix Lament, Half-Blood Prince.
After Dumbledore's death, Fawkes sang/cried around the Hogwarts grounds, and after he left, was never to be seen again, according to the books.
