Because we are insecure and have been taught to fear death. The human soul is immortal, I mean get real, how else would we learn anything in 72 years.
Just because most of us don't realize the truth until we are in our 40's and 50's, doesn't mean we should continue to stop learning.
This planet is a college for our souls with no graduation until we all evolve, so very good question but the answer is to keep an open mind until the very end, then do it all over again until you get it right.
The Pineal gland is formed 7 weeks after conception, the soul incarnates 7 weeks after death, coincidence is only God's way of remaining anonymous!