I read somewhere that after dying, and him being a Maiar, his spirit doesn't die. But he was barred from returning to the Hall of Mandos. So his spirit is broken and wondering I guess. Where do you think Saruman's spirit would wander to?
EDIT: Thanks for all the answers so far; but just speculating, where would you think his spirit would wander too? Would be go to Mordor and watch the crumbles, would he live among the elves in regret?
Similar to Sauron, he just wanders aimlessly and impotently.