Nothing in Arya's past has ever hinted at her being stricken with wanderlust — it's always been about seeking vengeance against those who wronged her family. Why then, now that things have been settled, would Arya choose to abandon the only family she has left to sail into the sunset?
"I'm not going back north," she tells her siblings before Jon is banished back to the Wall. "What's west of Westeros? That's where all the maps stop. That's where I'm going." I guess with all the constant backstabbing, poisonings, battling ice zombies, and dying from dragon fire going on of late, no one bothered to sail west.
I know that this isn't the first time Arya has mentioned her curiosity about what's out west, since she chats with Lady Crane about it in season six. But even still, it's surprising that Arya would risk never seeing Sansa, Bran, or Jon again.