No, his readers paid and followed him to hear a story. Of course he doesn't literally, in a legal sense, owe anything to them. And of course they are not entitled to harass him in any way.
But they are entitled to feel cheated, and loudly proclaim that they were cheated. Especially with a story as full of intrigue as A Song of Ice and Fire.
By comparison, fans of Agatha Christie's work would not have any entitlement to complain if she stopped after three novels, as those novels were complete works in and of themselves. But they would have every reason to complain if she published the first half of And Then There Were None, but never published the ending.