How can I match text only at the end of a file?

There is no way to write a rule which is “match this text, but only if it comes at the end of the file”. You can fake it, though, if you happen to have a character lying around that you don’t allow in your input. Then you redefine yyread() to call your own routine which, if it sees an ‘EOF’, returns the magic character first (and remembers to return a real EOF next time it’s called). Then you could write:

<COMMENT>(.|\n)*{EOF_CHAR}    /* saw comment at EOF */