Saruman was one of Maiar, like Gandalf. Meaning that he had a mortal body but presumably, when that body was killed, would simply return back to his ("spirit?") being.
Is there any confirmation from Tolkien that this is indeed what happened after he was knifed by Grima? Or was he somehow completely destroyed since he was de-powered by Gandalf?
Answer
To the dismay of those that stood by, about the body of Saruman a grey mist gathered, and rising slowly to a great height like smoke from a fire, as a pale shrouded figure it loomed over the Hill. For a moment it wavered, looking to the West; but out of the West came a cold wind, and it bent away, and with a sigh dissolved into nothing.
It is very much implied by that passage from the Scouring of the Shire that Saruman attempted to pass back into Aman, the West, but was denied. Given he was denied and that, as far as we know, Eru did not step in to banish him from time (as per Morgoth) he would have roamed Arda as Sauron would:
his fall will be so low that none can foresee his arising ever again. For he will lose the best part of the strength that was native to him in his beginning, and all that was made or begun with that power will crumble, and he will be maimed for ever, becoming a mere spirit of malice that gnaws itself in the shadows, but cannot again grow or take shape.
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