Winning gladiators left through the Porta Triumphalis. Injured or dead gladiators left through the Porta Libitinaria (named after Libitina goddess of tombs) which led to the hospital and morgue situated by the Ludus Magnus. Although we do not know the rules, there were referees and combatants could call a timeout – this is very different from what we imagine. Killing every gladiator who fought did not make financial sense for anyone involved (especially the gladiator).
Gladiators did not come cheap – feeding, housing and training gladiators was a pricey affair. The death of animals and criminals was almost a given, but the fate of gladiators on the other hand, was not so certain.
Those who fought in the Colosseum however, did not have the liberty to choose through which gate they would leave. Two of the Grand Archways of the Colosseum were named Porta Libitinaria (Door of Death) and the Porta Triumphalis (Door of Victory).