While installing a Harbor Breeze fan I found a red wire coming out of the ceiling with the other wires. I connected all colors as directed and the fan works. I'm left with a cocerned about leaving the red wire loose. I have intalled other funs and never encounter this red wire. What is this wire for and what should I do?

It is probably another switch leg to separate the fan and light.
Rarely is wiring as simple as the instructions show. There are almost always variables because there is no one set way to wire things. Thankfully we do not follow diagrams when wiring a house.