I read this story in an anthology in the eighties or early nineties. It was about an old man who lived outside a western-like town, though that might have just been how I imagined it. He goes to town and some ex-military thugs are there causing problems. Flaunting some odd interdimensional military tech of some sort. He doesn't want to intervene as doing so would be bad but in the end he must.
By intervening, his military identity is revealed and that causes him (some paradox or causality law) to have to go back and fight the war again.
The war is at the end of time or the universe. The man is maybe a colonel of the sky something... Not much to go on; I have been searching my collection and wracking my brain for years trying to recall the story.