Logically speaking, it makes a reasonable amount of sense that when the last remnants of a state are peacefully annexed by another state, apparently by the will of the annexed state's own citizens as theoretically happens when the last remaining worlds of an empire are culture-flipped by another empire, the annexing state acquires non-territorial assets such as warships and military bases (e.g. starbases). It can also be argued that this should be the case in annexations of smaller areas, as the spaceport over Colony A isn't terribly likely to remain with the parent state if Colony A decides to defect to Empire B, though it's less justifiable for military installations and warships.
Certainly, in the case where the last worlds of an empire are annexed by some other empire, it makes sense for the remaining ships and stations to go somewhere, rather than simply vanishing from the game, though for game balance reasons it might perhaps be better for those ships and stations to go rogue (i.e. become hostile independent warships, like the pirates of GCII) or defect to some random nearby empire that didn't just annex their home state. Still, vanishing off the face of the universe is a workable solution even if it's less than ideal.