The Rogue Monastery guards the way to the East. The citadel is now being guarded by Andariel, who prevents anyone from chasing Diablo.
There's another, larger gateway leading through the Monastery; this is most likely the aforementioned way of the East, leading through the mountains and into the desolate lands of Aranoch. However the wooden portcullis is lowered.
After killing Andariel, it's presumably opened up, and the caravan led by Warriv is allowed to continue its journey to the East.
