There is currently no event fired when an entity is removed from the game due to falling out of the world. The current way the community does this is by monitoring Y levels which is a painful solution - however with the min/max Y changes coming in 1.17 it would be a great time to add a new event for when entities fall out of the world (It'd be great to get this into 1.16 API too).

Please add a new event "EntityFellOutOfWorldEvent" and trigger it from net\minecraft\server\Entity.java

public void entityBaseTick() {
...
  if (this.locY() < -64.0D) {
    // trigger EntityFellOutOfWorldEvent
    this.an();
  }