Here is an article about a plausible theory by anthropologist Lee Miller, who wrote a book about it:

http://pages.jh.edu/~jhumag/1101web/roanoke.html

As the article states: Some were probably killed, Miller believes, and some indeed may have gone to the nearby friendly Indian settlement of Croatoan, as their cryptic messages suggested. But many, perhaps most, were taken as slaves and dispersed throughout Carolina by way of an Indian trading network. This would account for why no evidence of a Chesapeake settlement has ever been found, Miller says, and for the many reports of sightings throughout the interior, reports that historians such as Quinn have long dismissed as rumor.