“I heard a joke once: Man goes to doctor. Says he’s depressed. Says life is harsh and cruel. Says he feels all alone in a threatening world. Doctor says, ‘Treatment is simple. The great clown Pagliacci is in town tonight. Go see him. That should pick you up.’ Man bursts into tears. Says, ‘But doctor… I am Pagliacci.’ Good joke. Everybody laugh. Roll on snare drum. Curtains.”
To me this scene was always much more than just the death of Rorschach. In the graphic novel it was a private emotional interaction between just Rorschach and Manhattan but I understand why the threw in Dan for the movie. The two of them have reached a point where they realize earth doesn’t need them. After all they’ve done for people, they see no results. Then Adrian’s plan finalizes that. Everything they did was for nothing. The two of them have been broken down to the point where they’re sick and tired of being here. There’s a mutual respect and understanding between them in this moment. Two broken souls finally admitting that they are broken.