Did Vijay dies in the movie??

My impression was that he died at the end yes.

www.youtube.com/user/DawsonSpeaks85

Or perhaps they left it ambigous if they ever wanted to make a sequel, frightening thought isn't it?

I think it's pretty clear that he died. I interpreted his flashbacks to his youth as him going to another place, a bit like the hero in Gladiator did.