hold on a second. Yuma, let me ask you this. Do you think Chigur wasn't in the room when the Sherrif came back?
If no... well, then I don't know what to tell you. They showed him behind the door waiting for him, his reflection showing up in the hole where the knob used to be.
If yes, you do think he was hiding, why the hell would he just let the Sherriff walk out of there with the money. After being an indestructible killing machine (for basically his entire life), he's just gonna let an old man, who he could dispatch of easily, to just grab his money and walk out the door? That doesn't really follow along with anything else he did during the rest of the movie.
I interpreted it like this:
The sheriff looks at the lock blown out. He knows who did this, as did the viewer. At this point, his imagination gets the best of him, and he is imagining Chigur sitting there waiting for him. His pause gives him time to contemplate his next move. He is an "Old Man" in this new world of drugs and violence, and he feels lost and afraid. He went to El Paso to find Lou Ellen (sp?), but feels as though he failed. He knows entering the room means death, but he is ready. He draws his gun, so he maintains some dignity, but expects to die in there. Chigur is gone. He took the money, having completed this portion of his mission. The sheriff has led himself into a realization more than anything else. He knows this is over. Chigur will not be found or caught, and Lou Ellen is dead. All by an outside force, the Mexican. This leaves a lot to the idea of "unfinished business" and the sheriff's unease. He knows his time is over, and his last hurrah resulted in defeat because of his inability to stay up with current times. He felt dead as a sheriff, and his life as a person from then on will be haunted by this. He wanted to die in the hotel because then, he felt, he would have died on his terms, having made his choice having done his duty.
Chigur is certainly some angel of death. He is an unstoppable killing force, and none came close to killing him. Even when he was shot, he did not seem human. He represented death and its inevitability. Everyone who knew him knew this and accepted it. Except Lou Ellen, who was killed by someone else.
All in all, I loved this movie. There were so many archetypal characters that it came across as a classic story. The fact that it was a Cohen Brothers' film made it that much better. Add to that the fact that the "Desert Sands El Paso" is actually "The Desert Sands Motor Lodge" in Albuquerque, and about 5 blocks from my house, make it that much better. The beautiful high desert of New Mexico made for some nice "West Texas."