I'm not certain if the winner has ever not been in the main event.
In
1995 Shawn Michaels faced
Diesel but they got bumped by
Lawrence Taylor vs.
Bam Bam Bigelow.
Rey Mysterio's title win after his
Rumble victory didn't close the show, neither did
Undertaker's or
John Cena after his surprise return (probably because he wasn't booked to win it).
So that's
Wrestlemania 11, 22, 23 and 24 where the
Rumble winner wasn't in the final match.