I'd go with the wings thing but. Ending(SPOILER) He is unable to fly over the hole in the ending so I guess he hasn't learned to fly yet or something. I'm gonna go back on what whoever it was said, and just say he landed in water, deep enough to cause no harm, but shallow enough for him to survive. Man, this is making me nostalgic!!

And, it's never stated the Moogles died, although it's kind of annoying it wasn't explained. (Or maybe it was and I missed it, this is Final Fantasy after all!)