Oh. io9:
Steven Moffat said on Doctor Who Extra that we may not have seen the last of Michelle Gomez as Missy:
"I always rather enjoyed how they handled this problem when the wonderful Anthony Ainley was playing the part in the 80s."
"He would get killed, definitively, at the end of every encounter with Peter Davison and Colin Baker. And then he'd turn up at the start of the next Master story with roughly this explanation: 'I escaped!' Suits me, I'm fine with that!"
"Supervillains don't die, do they?" he added. "I wouldn't trust anything about that character's ability to lie down and stop breathing."