This theory suggests that Alfred had only imagined that Bruce survived the detonation of the bomb, and that he later went off to start a life with Selina Kyle/Catwoman. This theory explains why the ending to the film is overtly happy despite it being a rather gritty film, and why Alfred's dream of his master finding happiness is realized at the end of the film.
If one were to be even more specific, one can even say that the entire film series was all in Alfred's head, and that these deluded fantasies were established after he had failed to save Bruce from the well in Batman Begins.