In the season 8 finale of Game of Thrones, we see the Dothraki besides the Unsullied but after
Jon murders Daenerys
they vanish! What did they do about it? Where did they go? How did they react?
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They don't just vanish. We do see them when Jon is lead to the docks to be taken to the Wall.
They have their signature arraks in hand. You can see Jon in the background.
Seeing as they are near the docks, it seems to me that they are heading back to Essos maybe to their homeland in Vaes Dothrak. They are not with the Unsullied because Unsullied are traveling to Naath to keep peace. Maybe Dothraki boarded other ships bound for Essos.
They scattered into Westeros.
When Khal Drogo died, his Khalasar abandoned Dany immediately. They only follow strength, and "A Khal who cannot ride is no Khal". When Dany died, they probably abandoned her cause just as quickly.
We see that the Unsullied take the ships, and we don't see any Dothraki on them.
The Dothraki must be exploring Westeros - probably with a new Khal and nothing to stop them from attacking cities and enslaving their citizens.