I expect that when you die, you lose consciousness and never are conscious again. That terrifies me, and it's no use pointing out that I'm not going to in any way know about my own condition, or feel bad when it happens.
I'm not going to experience anything again, I'm not going to be able to enjoy anything about the universe again, I'm never going to spend time with the people I love again, I'm not going to be conscious again.
Yes, I'm not going to be suffering when it happens, but the prospect of not existing just flat out terrifies me.
All I can do is enjoy myself while I have the luxury of existing, and do "mindfulness" excercises when I get overcome with the thought that one day I'll come to an end.