We Do Not Know
The only Children of the Forest we see in the series are those at the Cave of the Three Eyed Raven and they get wiped out. I would imagine though that these are supposed to be the last Children of the Forest as they were being slaughtered by men.
LEAF: We were at war. We were being slaughtered. Our sacred trees cut down. We needed to defend ourselves.
BRAN: From whom?
LEAF: From you. From men.
Game of Thrones, Season 6 Episode 5, "The Door"
In the books the cave is said to be filled with thousands of bones but only 3 living Singers (another name for the Children of the Forest) so we can assume that they are dwindling and are almost wiped out.
The caves were timeless, vast, silent. They were home to more than three score living singers and the bones of thousands dead, and extended far below the hollow hill. "Men should not go wandering in this place," Leaf warned them. "The river you hear is swift and black, and flows down and down to a sunless sea. And there are passages that go even deeper, bottomless pits and sudden shafts, forgotten ways that lead to the very center of the earth. Even my people have not explored them all, and we have lived here for a thousand thousand of your man-years."
A Dance with Dragons, Bran III
Of course we only know of those we see so there could be other groups of Children out there somewhere but until mentioned I doubt it.
Note that in the books Leaf "walked the world of men" and so there could be some Children still living amongst men in hiding.
Meera said, "You speak the Common Tongue now."
"For him. The Bran boy. I was born in the time of the dragon, and for two hundred years I walked the world of men, to watch and listen and learn. I might be walking still, but my legs were sore and my heart was weary, so I turned my feet for home."
A Dance with Dragons, Bran II