It's a story I read in 2 or 3 parts in a sci-fi magazine around 2004 (give or take a year, I suppose), but it may be a bit older than that. This is what I remember (and I hope it's all accurate):
- The protagonist used to travel a lot, mainly using high speed mediums like aircrafts.
- It was established in the story that as he traveled more frequently and with more speed, he would gradually cross over towards (sort of) higher planes of existence (and that everyone in the setting could do the same, although most people simply didn't bother).
- These higher planes of existence were apparently still Earth, but the environments and the inhabitants were increasingly more alien and life in them was increasingly luxurious.
- As far as I recall, the protagonist's goal was simply to reach those higher levels.
- If he failed to maintain his "speed" for too long, he would fall back to lower planes of existence, with more familiar characteristics and significantly lower quality of life.
- His wife had died some time ago and her grave was apparently in the lower planes. He did visit her once near the end of the story, before starting to build up speed again.
(I don't happen to know the original language of the story because what I read was a translated version.)