You need to play Morrowind then. The Last Living Dwemer is in that game.
http://www.uesp.net/wiki/Morrowind:Yagrum_Bagarn
Even he does not know what happened to them:
Disappearance of the Dwarves: "Hmm.... I cannot say what happened. I was not there to observe. I was in an Outer Realm at the time, and when I came back, my people were gone. I left Red Mountain, wandering Tamriel for years, searching our deserted colonies, looking for a survivor or an explanation. Then, a long, long time ago, I returned to Red Mountain, still looking for answers. Instead, I found corprus disease, and I have been here ever since. I have theories, if you are interested."
However he offers up this theory:
"Lord Kagrenac, the foremost arcane philosopher and magecrafter of my era, devised tools to shape mythopoeic forces, intending to transcend the limits of Dwemer mortality. However, in reviewing his formulae, some logicians argued that side effects were unpredictable, and errors might be catastrophic. I think Kagrenac might have succeeded in granting our race eternal life, with unforeseen consequences -- such as wholesale displacement to an Outer Realm. Or he may have erred, and utterly destroyed our race."
UltimaJoe777 wrote: »
Morrowind had a Dwarf in it?
UltimaJoe777 wrote: »Morrowind had a Dwarf in it?

You need to play Morrowind then. The Last Living Dwemer is in that game.
http://www.uesp.net/wiki/Morrowind:Yagrum_Bagarn
Even he does not know what happened to them:
Disappearance of the Dwarves: "Hmm.... I cannot say what happened. I was not there to observe. I was in an Outer Realm at the time, and when I came back, my people were gone. I left Red Mountain, wandering Tamriel for years, searching our deserted colonies, looking for a survivor or an explanation. Then, a long, long time ago, I returned to Red Mountain, still looking for answers. Instead, I found corprus disease, and I have been here ever since. I have theories, if you are interested."
However he offers up this theory:
"Lord Kagrenac, the foremost arcane philosopher and magecrafter of my era, devised tools to shape mythopoeic forces, intending to transcend the limits of Dwemer mortality. However, in reviewing his formulae, some logicians argued that side effects were unpredictable, and errors might be catastrophic. I think Kagrenac might have succeeded in granting our race eternal life, with unforeseen consequences -- such as wholesale displacement to an Outer Realm. Or he may have erred, and utterly destroyed our race."