First of all, Einstein is a very outstanding figure. His death is a great loss to the world. Einstein's thought is very avant-garde. This sentence may mean that he saw the future world in his mind. It is also said that people will make predictions about themselves before they die and predict how much time they have left. Combined with Einstein's burning of manuscripts before his death, will those manuscripts be the future recorded by Einstein or the appearance of another world? We have no way of knowing.
Secondly, this sentence may also be related to Einstein's childhood experience, which is the most profound memory in one's life. Einstein wanted to go back to his hometown in his later years, but he was driven away by others. This may be his deepest regret. So maybe I thought of his hometown at the last moment of my life and said this.
However, no amount of speculation can tell Einstein's true thoughts. The deceased has passed away. We can only continue to study in the precious materials left by great men. Maybe one day, we can really see what Einstein called "the world over there".