He never married and lived the life of a recluse. All we learn from the biographer of Guru Hargobind is that he carried the conch at the funeral of his stepmother (Mata Marvahi), his stepbrother, Suraj Mal, giving his shoulder to the bier. Ani Rai died at Kiratpur where a shrine honouring his memory still exists.
References :
1. Gurbilas Chhevin Patshahi. Patiala, 1970
2. Gian Singh, Giani, TwarikA Guru Khalsa [Reprint]. Patiala, 1970
3. Macauliffe, M. A., The Sikh Religion. Oxford, 1909 Gn.S.