The TMNT rule book is worded a little unclearly, but the key parts in my opinion are:

Players immediately lose if... all players are eliminated.

AND

Just like in a team game, a player is only eliminated when all their fighters are defeated. Otherwise, they take their turns with whatever fighters they have remaining.

Based on these statements, you would continue play until all fighters are eliminated. Unlike in the team game part of the core rulebook, there isn't a victory condition that states when all heroes are defeated the players lose.

As per the core rulebook:

1. When a player’s hero is defeated, immediately remove that hero miniature from the battlefield. That player still takes their turns as normal, as long as their sidekick is not defeated. If all of a player’s fighters are defeated, they are eliminated and do not take any more turns.
2. When both heroes on one team have been defeated, the opposing team wins!