Was wandering around Skyrim yesterday as you do when I saw for the 1st time a huge double gate. The location is directly east of Falkreath and southwest of Fort Neugrad at the top of a snow covered road. I managed to sort of scale some rocks to the right hand side of it and look over the gates and it would seem the road continues, but to where?
Usually when you come to the border of Skyrim you will get a message saying "you cannot go that way" but in this instance that was not the case, it also didn't update the map as is usual whenever you discover a new landmark.
Has anyone else come across this and more importantly does anyone know why these gates are actually there?

They are basically just border gates.

Fluff has always been my assumption. Y'know, letting you know where the roads out of Skyrim are. Those little details.

This.

You're pretty much at the border to Hammerfell (or Cyrodiil, I can't remember which it is at the moment...) at that location.

There's a set of similar gates in the far southeastern corner of The Rift that would lead into Morrowind that acts as the same type of thing.

I'm not sure about any other border gates, but I know they exist.

There's one on the south of Skyrim.

Edit = to highlighted area:

That would be the border with Cyrodiil.

Yep. Whether we ever get to cross them in a DLC remains to be seen.