In the most recent issue of the LOTR Fan Club Official Movie Magazine (Issue #7, Feb-March, 2003), there is an interview with Peter Jackson. In it he is asked from Steve Stone of Markham, Illinois:
By now we all know that the “Scouring of the Shire” won’t be in the films due to the fact that there can’t be a second, lesser climax in the story after the larger events that take place. But please tell us if you are going to use the “Sailing away from Middle-Earth” ending, which would age the characters a year or two from their final battles in the films and provide a more fitting farewell to such well-loved characters?
The answer is “yes.”