It just happened this year, a few months ago.
It was a bit of a shock considering that they updated the Air King; but, to be fair, this model's "raison d'etre" was antimagnetism and its capabilities have been far surpassed by other brands, never mind the rest of the Rolex lineup. Then again, it's not the first time that Rolex discontinued the Milgauss and I wouldn't be in the least surprised if it makes a comeback within five (or a few more) years.
Still, you are right, it's a cool watch.