Yes, they might have left, and died at sea, but there's no sign of it. It would be unlikely if that was the principle reason for the disappearance of the colony, but that those left behind never wrote down anything about a sudden increase of deaths at sea. There's no record of the settlers appearing anywhere else.

And the Norse were the local population. The previous American-Indian culture to inhabit Greenland, the 'Dorset' culture, had disappeared several centuries before the Norse arrived to find it uninhabited. The 'Thule' culture, ancestral to today's inhabitants, arrived after that, but inhabited areas further to the north, at that time.