We consider a transitive action of a finitely generated group $G$ and the Schreier graph $Γ$ defined by this action for some fixed generating set. For a probability measure $μ$ on $G$ with a finite first moment we show that if the induced random walk is transient, it converges towards the space of ends of $Γ$. As a corollary we obtain that for a probability measure with a finite first moment on Thompson's group $F$, the support of which generates $F$ as a semigroup, the induced random walk on the dyadic numbers has a non-trivial Poisson boundary. Some assumption on the moment of the measure is necessary as follows from an example by Juschenko and Zheng.