Preparing Your Audience

To inform your audience that defeating the antagonist is not the end of the story, you can use a combination of foreshadowing, unresolved plot hooks, audience expectations, and narrative focus. By providing compelling stories and dramatic tension outside of your protagonists' conflict with the antagonist, you can carry the story far beyond what would normally be the climax.

Foreshadowing

First and foremost, you need to provide some indication while telling the story that anticipated climax is not the end of the story, but simply an important milestone. Otherwise the last portion of your story will fall flat as it will feel like an over extended denouement.

You should provide enough hints to establish that the conflict will not be resolved simply through a confrontation with the antagonist. In your particular case, be sure that both the audience and the characters learn - or at least have reason to suspect - that your villain will eventually be resurrected if further steps aren't taken. This way, when the villain is killed, enough dramatic tension will remain to carry the story forward and hopefully build towards the final climax.

This is important to do even if the last part of the story is intended as a surprise twist. Revealing a secret out of the blue without any hints will feel like cheap; instead, make your hints subtle and ambiguous so as to make the audience feel cleaver when they put it all together.

Unresolved Plot Hooks

Many people enjoy seeing the resolution of various plot points. (I'm sure this is especially true of gamers with a "completionist" streak.) With enough loose threads, people will remain invested in the story just to see those threads tied up. Be sure that a few remain when the anticipated climax occurs.

In your particular case, I'd suggest the protagonists not discover how to leave the villian's dimension until after his death. You can then reveal the villain's potential return while they are searching for a way home, creating a dilemna for them: do they focus on getting home alive or stay to protect the ones they love?

Do avoid leaving too many loose threads, though, as that will risk making the story either incomprehensible or simply unfocused.

Audience Expectations

You can leverage your audience's expectations to signal that the confrontation with the antagonist is not the end of the story. The specifics of how to accomplish this will vary depending on the medium, but in essences you should leave your audience thinking, "This can't be the end yet!"

In the context of a video game, here are some possible techniques:

Have the confrontation occur earlier than normal; if a play-through of most games in your chosen genre take 20 to 30 hours, have the confrontation occur somewhere between 10 to 15 hours.
Leave some content inaccessible or unexplored as many players will take this as a hint that the upcoming boss is not the end of the game; be careful not to overdo it, though, as it can become frustrating or obvious
If you have a progression system, make it so the characters still have a fair amount of development left; for example, in an RPG with a maximum level of 99, encountering the boss at level 40 will be a good sign that there's more to the game left.

Narrative Focus

Lastly, one more technique you can use is to focus your narrative on something other than the antagonist. Make their defeat serve as an opportunity to further the plot instead of being the plot's final resolution. For example, if you focus on the struggle for survival, the villian's defeat can show that the characters have developed some confidence and mastery of the environment. If you focus on the interpersonal conflicts between the characters, the villian's defeat can show that they've learned to work together. In either case, though, there can still be ongoing conflicts that haven't been resolved.

Alternatives

Given what you describe of the story you wish to tell with your game, I would suggest you consider alternatives to a single, linear plot. Other answers include great suggestions, such as:

Reserving some of the ideas as an introduction to a sequel instead of a conclusion to the original game
Using multiple playthroughs to show different perspectives, allowing for a shorter, focused denouement.
Provide the extra stories as bonus content

Personally, I strongly recommend the last option. Not only would this give players who are well invested in your game a chance to play more with their favorite characters, but it would allow you to tell additional stories with somewhat independent arcs.

Some Examples

What You Can Do

I can think of several games that have extended stories that you should consider.

The first is Tales of Symphonia. The story starts off with our young heroes on a journey to "regenerate" the world. At the very end of their journey, they discover a dark, terrible secret that is one of my favorite plot twists ever. There are a few hints that the heroic journey is not the end of the game:

Some of the more cynical characters aren't completely sold on the value of the journey of world regeneration
There are a number of mysteries about the world; in particular, the nature and origin of the desians who antagonize the heroes
The journey reaches its conclusion early in terms of hours of playtime and character's progression

Another to consider is the original Xenoblade Chronicles. Much of the game is spent fighting the "mechons" - mechanized monstrosities. As you become closer to confronting the leader of the mechon army, there are many of the trappings of what would normally be the end of the game. However, once this villian is defeated, a new more powerful antagonist emerges. This is far from a cheap conceit, though, as the villian's presence and plan are eluded to throughout the game and help bring together a lot of the disparate elements that previous felt like random world-building.

What You Shouldn't Do

I can think of two examples of that illustrate what you should avoid.

The first is the movie Castaway starring Tom Hanks. Though good in many ways, I feel the movie has a fatal flaw: a lack of focus. The movie is roughly split in half between the protogonist's life before and after being stranded on a remote island. It felt like two separate stories instead of one. It would have been better if the focus had been placed more on one of these two parts of the story. It could have been about his struggle to survive and maintain his humanity or it could have been about his struggle to put his life back together in the aftermath. By focusing on both equally, the story falls flat.

The second example is the game Tales of Legendia. As with Castaway, there are essentially two stories with the same character(s). In the case of Tales of Legendia, the two stories are largely distinct. The story takes place in the same location with the same characters, but instead of being a continuation of the first act, the second act follows an unrelated story arc with an unrelated conflict. The first act (which I felt was good and all that Tales of Legendia needed to focus on) was about the struggle to secure an island that was, in relativity, a giant ship. The second act was about the emergence of a dark and mysterious entity; though it had some of the best character building moments, the second act lacked the grandeur and excitement of the first so it became a major drag. (It doesn't help that the second act has you re-tread most of the dungeons from the first act.)

Conclusion

In the end, the most important thing to consider with your idea is how the content will fit together into a satisfying story arc. If it is all organized as a single plot, but the dramatic tension doesn't build properly throughout, your story will suffer. Ensure that the extended "ending" is compelling and adds to the overall story or keep it separate so that your audience can have a satisfying, self-contained story to enjoy.

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