I agree with the 'Limbo' theory (in fact, it's probably the most realistic one), it's just that there's nothing in story to suggest it.
unless you say that the demons go back to the same place where the summon beasts (frogs, snakes, whatever) come from, which raises the question of what makes the difference between the two types.

maybe next arc, after the akatsuki captures all the demon beasts, they go after all the summoners. I won't mind watching them hunt Tsunade.