If I understand correctly, Krsihna didn't accompany them on their final ascent to the Himalaya and beyond.
When Ashwamedha Yajna of Yudhishthira has finished and Lord Krishna has described the Anugita to the Arjuna, Lord Krishna said to Arjuna that he wanted to leave for Dwaraka. It is mentioned in Mahabharata: Book 14: Aswamedha Parva: SECTION LI.
"Vasudeva said, 'I am the preceptor, O mighty-armed one, and know that the mind is my pupil. Through my affection for thee, O Dhananjaya, I have related this mystery to thee. If thou hast any love for me, O perpetuator of Kuru's race, do thou then, after having heard these instructions relating to the Soul, always act duly (according to them), O thou of excellent vows. Then when this religion has been duly practised, O mower of foes, thou wilt become freed from all thy sins and attain to absolute emancipation. Formerly, when the hour of battle came, this very religion, O thou of mighty arms, was declared by me (to thee)! Do thou, therefore, set thy mind on it. And now, O chief of Bharata's race, it is long since that I saw the lord my sire. I wish to see him again, with thy leave, O Phalguna!'
"Vaisampayana continued, 'Unto Krishna who had said so, Dhananjaya said in reply,--We shall go to-day from this town to the city called after the elephant. Meeting king Yudhishthira of virtuous soul there, and informing him (of thy intention) thou shalt then repair to thy own city!'"
And then in the next chapter, i.e. Mahabharata: Book 14: Aswamedha Parva: SECTION LII, Lord Krishna took permission of King Yudhishthira.
"Thus addressed, Phalguna, well conversant with speech, humbly approached king Yudhishthira the just and then said these words.--'Vasudeva here, of great prowess, O king, is long absent from home. He desires, with thy permission, to see his sire. Let him go, if thou thinkest it meet, to the city of the Anarttas. It behoveth thee; O hero, to grant him permission!'
"Yudhishthira said, 'O lotus-eyed one, blessed be thou. O slayer of Madhu, do thou go this very day to the city of Dwaravati for seeing, O puissant one, that foremost one of Sura's race. O mighty-armed Kesava, thy departure is approved by me. Thou hast not seen my maternal uncle as also the goddess Devaki, for a long time. Meeting my maternal uncle and repairing to Valadeva also, O giver of honours, thou wilt, O thou of great wisdom, worship both of them at my word as they deserve. 1 Do thou also think of me daily as also of Bhima, that foremost of mighty men, and of Phalguna and Nakula and Sahadeva, O giver of honours. Having seen the Anarttas, and thy sire, O mighty-armed one, and the Vrishnis, thou wilt come back to my horse-sacrifice, O sinless one. Do thou then depart, taking with thee diverse kinds of gems and various sorts of wealth. Do thou, O hero of the Satwata race, also take with thee whatever else thou likest. It is through thy grace, O Kesava, that the whole Earth, O hero, has come under our dominion and all our foes have been slain.'
So, this was the last interaction between Lord Krishna and Pandavas. After that Arjuna came to Dwaraka just after the destruction of Yadu's race (including Lord Krishna and Balarama). It is mentioned in Mahabharata: Book 16: Mausala Parva: SECTION 5.
Vaishampayana said: "Meanwhile Daruka, going to the Kurus and seeing those mighty car-warriors, the son of Pritha, informed them of how the Vrishnis had slain one another with iron bolts. Hearing that the Vrishnis along with the Bhojas and Andhakas and Kukuras had all been slain, the Pandavas, burning with grief, became highly agitated. Then Arjuna, the dear friend of Keshava, bidding them farewell, set out for seeing his maternal uncle.