The Conversation ending explained

What happens

Harry learns the Director is dead, and that Mark and Ann were the killers, not the victims. A phone call then warns him he is being recorded. He wrecks his apartment searching for the bug, finds nothing, and plays his saxophone in the ruins.

The last image

Harry sits playing his saxophone amid the wreckage while the camera sweeps back and forth like a surveillance camera.

What it says

Harry misread the tape, and his imagination turned an unverified fear into certainty. The ending turns his trade on him: the watcher is watched, and the privacy he guarded is gone. He never asked who was listening to him.