We assumed it would then end the attack, but can't find a definitive answer in the rules.
For the sake of realism, it wouldn't have to end the barrage, as long as you could keep track on a virtual grid. It doesn't make much sense to say the attack ends just because it fell outside of a certain area. Did the shells suddenly disappear? I suppose you could make up some creative reason why the artillery suddenly stopped firing mid-way through its programmed fire plan, but it seems to make the most sense to me to continue the barrage. Of course, there's not much point in continuing unless there is a chance the subsequent shells are going to land back on the playing area!
For the sake of simplicity, a rule that the attack ends is the easiest and simplest way of resolving the attack. What is simplest is not always best, fun or fair.
From a game play view, I don't see anything broken with allowing the barrage to continue. If the attack automatically ends, then the attacker is punished further. It might be more 'broken' to rule that the barrage ends automatically, because units on the edge of the board are now 'safer' from indirect fire barrages.
I have no idea if there is an 'official' ruling on this. Checking the DevilPig Forums might give you an answer.
Anyhow, these are my thoughts on the issue - if I was the publisher I'd probably rule that the attack ends automatically, just to keep it simple, cut down on rules explanations and keep the game flowing. As the player, I'm more than happy to keep track and rule that the barrage continues.