It does not necessarily have a direct link to the exit page. The idea is to entice the visitor to visit the entire site before leaving. When you do design your exit page provide a lot of internal site links that lead visitors to parts of your site and only a few external links. This will encourage the visitor to check out anything on your site that you missed and will reduce your site maintenance chores since external links must be checked at least once a week to ensure that they are still working. Don't force your visitors to have to search your site to figure out how to contact you.
Web design is a fast moving field.