Just before she died she asked, What is the answer? No answer came. She laughed and said, In that case, what is the question? Then she died.
Reported in Donald Sutherland, Gertrude Stein: A Biography of Her Work (1951). Stein's companion Alice B. Toklas, who was with her at her death, reported Stein's words as, "What is the answer? ... In that case... what is the question?" (Alice B. Toklas, What Is Remembered [1963]), and did not identify these specifically as the last words.