I'm not sure that the Romans collectively thought that the empire would come to an end, but I'm sure there were individuals, in power and out, that had the imagination to see an end sometime in the distant future.
In response to Ursus' comment "I think by the time of the late 3rd century they had been finally clued in that expansion was at an end, but total defeat seemed a remote choice." I've just been reading Everitt's biography on Hadrian and it seems that Hadrian in the early second century made the concious decision to halt expansion and build boundaries around the empire in order to prevent a downfall. Of course, that didn't stop later emperors from trying.
I also was confused by Dr. Fears comment that democracy is not a value in the Middle East and then he goes on to say that "no people have ever had a true democracy who were not touched in some way by the genius of the Greeks." The Middle East was as touched by the Greeks as Europe (maybe more), so theoretically it should be a value there. It's not as if the West have had democracies throughout history since the Greeks.