Here's what could have happened to Furio (Federico Castelluccio) after he left in The Sopranos season 4. Furio Giunta was a transplant from the Zucca mob family in Naples, Italy who became one of Tony Soprano's (James Gandolfini) most loyal enforcers in New Jersey. Notable Furio scenes that come to mind include his raid on a massage parlor in season 2, episode 5 "Big Girls Don't Cry," and his "give me $1,000" moment when claiming Tony's cut from two DiMeo family associates, Matthew Belivaqua (Lillo Brancato Jr.) and Sean Gismonte (Chris Tardio). Compared to the rest of Tony's crew, Furio was portrayed as more gentlemanly and professional in his dealings, as violent as he was.
Due to Tony's immense trust in him, Furio also became his personal driver and would therefore come to the Soprano residence often, leading The Sopranos' lead mob wife Carmela (Edie Falco) to grow infatuated with him. While Carmela represses her infatuations by not getting physically intimate with Furio in any way, the sexual tension between the two grows when Furio develops reciprocal feelings toward her. To complicate the matter, Furio knows that getting involved with a mob boss's wife would lead to a hit on his head, which his uncle in Naples even clarifies outright to Furio when he admits his feelings towards Carmela to him. With Furio knowing that he could never have Carmela while Tony was still alive, even going so far as to impulsively start pushing Tony towards a helicopter blade in season 4, episode 12 "Eloise," Furio decides that the best course of action is to return to Italy.
From there, Furio's fate is unknown. While he could have died offscreen, like The Sopranos' Adriana (Drea de Matteo), there's no actual indication regarding whether Furio's alive or dead. Even though Tony does tell Carmela in season 5's premiere "Two Tonys" that "Furio Giunta's life is finished if certain people find him," the tension between him and Carmela at that time plus Tony's history of lying to her doesn't necessarily make this true. Not to mention that a hit on a respected, made guy like Furio for having feelings towards his wife - feelings that Tony couldn't actually confirm because Furio had the sensibility to not even act on them - would be too risky. Even though Tony's boss status allows him to technically put a hit on anyone he wanted, it could still affect both his status and the relationship between New Jersey/New York and Naples. All things considered, Furio is likely alive - or, at the least, he's not killed under Tony's command.
Whether it be ghosts haunting The Sopranos characters or hits being put on people for killing someone, The Sopranos do show consequences for killing characters. For example, Tony shoots his own cousin Tony Blundetto (Steve Buscemi) for killing Billy Leotardo (Chris Caldovino) and starting a mob war. If Tony actually tried getting Furio killed, it would likely go down in a similar way as Johnny Sack's (Vincent Curatola) attempt at ordering a hit on DiMeo family captain Ralph Cifaretto (Joe Pantoliano) for making a crude joke about his wife. Boss Carmine Lupertazzi (Tony Lip) doesn't sanction the hit, as the move would've been an overreaction - not to mention that Ralph is greatly depended on by the family. Of course, Tony ranks higher than Johnny Sack, but the nature of potential consequences remains to be similar.
With even the main lead Tony being killed in The Sopranos as creator David Chase confirms, it's refreshing to think of Furio actually moving on with his life. The Neapolitan Zucca family is much more respected than Tony's crew, as shown in the Italy episodes in season 2. If Furio was therefore working with that family again, any rank he holds carries much more prestige. Considering his effectiveness in the mob, Furio likely climbed ranks and could have become a capo or even a boss, becoming all the more influential. At the very least, Furio's likely better off in Naples than Jersey.