Macedonian Empire and the world at Alexander's death (Proudly AH.com made)
India would probably be a focus at some point (would it only to prevent Indus Kingdoms, that he technically submitted but remained largely autonomous, being disputed by Mauryas which were unifying the entiere peninsula).
But rather than advancing, it would be rather holding on the Indus region.
India was indeed basically unknown to Greeks, more populated, more strong and more...everything that Alexander already get. It's telling that Indian sources barely (if at all) record Alexander's presence IOTL : he didn't went to the places that mattered for Indian history.
Arabia would probably be his first focus : he already planned expeditions and made reckon the coast at the end of his reign.
Not a conquest of the whole peninsula, but at least (as he did in Central Asia) recovering the same domination that Persians did at their apogee. Eastern and Southern Arabia were, indeed, within traditional sphere of influence.
Don't expect a reduction of the hinterland and beduins being taken over militarily, but coastal control or overlordship would be probably to be expected. Maybe part of modern northern Somalia as well.
After that...Well, going West could still actually make more sense than India.
Arrian mentioned a North African campaign as well, against Carthage and/or Sicily.
However, at this point, his empire may reach some obstacles : rebellions (either from locals and generals), generalized weariness of the troops, and of course defeats (as someone posted long ago, if Napoléon died in 1810, he would be remembered as a largely undefeated general).
The empire would indeed risk outreaching itself at this point, and if Alexander gets Sicily (a prestigious and wealthy take, arguably) it would be good enough.
I'm not sure about an expedition in Italy. It's doable, certainly, but I think the Italian city-states would rather do the same thing than Cyrenaic region : acknowledging a far Macedonian presence, some tributes, and get away with that.
I'd rather think he would have tried to make Black Sea and Balkanic campaigns, if he was to be pragmatical (having Celts troubling the borders wouldn't be that much appreciated, and dealing with the rich Black Sea trade would be a nessecity sooner or later.