Ever the gentleman, Cleveland attended McKinley's inauguration and even held McKinley's hat while the incoming president delivered his inaugural address. After leaving the White House on March 4, 1897, Cleveland lived in retirement at his estate, Westland Mansion, in Princeton, New Jersey. To pay the bills, he played the stock market and practiced law in order to support his family, though it is estimated that when he left office, he had amassed a moderate personal fortune of $350,000. At Westland, a spacious house in Princeton, it is said that Cleveland was treated like royalty by the citizens of that community.
For a time Cleveland was a trustee of Princeton University. While acting in this role, he was one of the majority of trustees who preferred Dean West's plans for the Graduate School and undergraduate living at Princeton over those of Woodrow Wilson, then president of the university. It was a slight that led to a lingering resentment on Wilson's part against the university.
Cleveland began writing essays and political commentary. In 1904, a book he wrote was published, called Presidential Problems. It was semi-autobiographical in that it focused on some of his most controversial decisions. (It was somewhat similar to President George W. Bush's book "Decision Points"). But Cleveland never wrote a proper autobiography.
Cleveland also served on several corporate boards and gave public speeches. He consulted occasionally with McKinley and with Theodore Roosevelt. In 1902 Roosevelt asked Cleveland to accept the chairmanship of the commission handling the Coal Strike of 1902, but Cleveland declined this offer.
In 1904 Cleveland suffered a personal tragedy when his eldest child, his daughter Ruth (known as "Baby Ruth"), died from diphtheria, four days after being diagnosed with the illness. The Clevelands were devastated by the loss of their child.
In 1905, Cleveland wrote an article in The Ladies Home Journal, in which he expressed his opinion on the women's suffrage movement and on the proposal that women be allowed to vote. Cleveland wrote that "sensible and responsible women do not want to vote. The relative positions to be assumed by men and women in the working out of our civilization were assigned long ago by a higher intelligence."
In 1906, a group of Democrats from New Jersey tried to convince Cleveland to become a candidate for the United States Senate. The incumbent, John F. Dryden, was not seeking re-election, and some Democrats felt that the former President could attract the support of some disaffected Republican legislators who might be drawn to Cleveland's statesmanship and conservatism. But Cleveland was not interested in a return to the political game. His health had been declining and by this point in his life the 69 year old former president had had enough of politics.
Cleveland was suffering from a gastro-intestinal disease complicated by an ailment of the heart and kidneys. Cleveland experienced significant pain commencing in the fall of 1907 and continuing into the spring of 1908. A severe attack hit him while on vacation in late March of 1908. He told close friends that be believed that the end was near. With great secrecy, he was rushed by automobile to Princeton. He suffered a severe heart attack that claimed his life. Stephen Grover Cleveland died on the morning on June 24 at the age of 71. His final words were said to be: "I have tried so hard to do right." He was eulogized by President Theodore Roosevelt, who called Cleveland a "happy warrior" and described him as someone who had served on honorable terms and who understood that the presidency was a "public trust" bestowed upon him by the American people.He is buried in the Princeton Cemetery of the Nassau Presbyterian Church.