We know it from films: The main hero is dying in his friend’s arms, saying his last words. Then his eyes close, and the friend says, with tears in his eyes, “He is gone.” In a novel, when a lover leaves her partner, he may say, “She is gone, and she is not coming back.”
Such usage is idiomatic and is not really an instance of a general grammatical rule. A non-native speaker just has to remember that
The form “have gone”, on the other hand, is the ordinary past perfect of “to go” and can be used just like any other verb:
Has he gone mad?