Is there a reason why death could be final? Is there some law that prevents something from ever existing again after it is dead? Why are there supposedly entities that are able to cease existing and never exist again?
Death may be final because it can be defined to be as such. One of the most powerful aspects of death is its finality. Once something dies, it can not be brought back.
However, this is only part of the story. How do we know something really died? We used to declare something dead when it's heartbeat ceased, but modern medicine has since demonstrated that it can bring someone back from beyond that point. The medical definition of dead is a nuanced definition that science is constantly refining.
Maybe it is the trickiness of these definitions that lead people to use phrases like "you will always live on in my heart." Perhaps people seek a more refined concept to describe what they experience while they are alive.
You may want to look at Paul Edwards' book on the afterlife Immortality.
The evidence for the contrary is scant.
The evidence for there being no afterlife is obvious, bodies die, turn into something unrecognizable as a human being, and we are our bodies.
I like his rebuttal of Husserl (who personally, I do believe, thought he was immortal): no proof at all.
He also authored a book Heidegger's Confusions.
IMHO the best reason to believe in an afterlife are Kantian on space (we cannot destroy the space that an object seems to take up) and based in time (see McTaggart on time).
I mean that very broadly, a jumping off point to why people might intuitively hold the belief; it seems that Kant didn't believe in an afterlife anyway.
Death could be final because there is no concrete evidence to believe otherwise. Yes, it is certainly possible that it isn't final, but how do we test this? With the current information we have, and observing that everyone who has died in the past has never returned, it is simply logical to assume that these people cease to exist and haven't existed since their death. Yes, our dataset is limited since we cannot say with with certainty that everyone who has died in the past can't suddenly wake up and start existing again 1.5 million years in the future.
I guess the more interesting question is: is death real? But the problem with along such questions is that death in itself is not an experience in life, so no one can claim to actually know anything about death.
To answer your first question directly: death could be final because we have never observed someone who is dead come back to life, but like all such questions, the is no definitive answer. And ad for your second question: no, there is no known law, but we can say with a great degree of certainty that it is unlikely that something dead can come back to exist again since we have never observed it before and all living things seem to follow this paradigm. But it is not guaranteed to not happen in the future. For your third question: what entities are you talking about?
The second law of thermodynamics insists that the level of disorganization increases over time, always has, and always will. Since 'an entity' to be recognizable as itself requires a certain level of organization, not all entities can continue to exist, or to recur, endlessly throughout time.
A life form requires quite a high level of organization to continue to be recognized as itself. Ultimately no single entity with any high degree of organization will be able to exist at all. So eventually, no individual's life, nor any recognizable remnant of it, will be able to exist, unless time itself ends.
The overall level of organization does not seem likely to stop decreasing or to return to a higher level, since the expansion of our universe is not slowing down over time, but is increasing instead.
The question "is death final" may be rephrased as "is life finite". In this case, the answer seems to be "yes" for humans, while some other living things may live indefinitely long (or just much longer than we do)
So why is our life limited? A short explanation would be that our species is a result of evolutionary process, and immortality is one of the traits that we didn't evolve. Natural selection favors those who produce viable offspring; longevity, beneficial as it is for a single living organism, is of second priority. And there is simply no conceivable way to evolve something that may be called a soul. Though who knows, maybe we may eventually find a way to transfer our consciousness to computer system or another medium.
It depends on how the word final is to be understood. If it is to be understood temporally and chronologically, as is seemingly always understood, death may be final or it may not be final, again, depending on the cultural type of temporality and chronology its finality is "measured" against (e.g. if it is a Christian type of temporality / chronology, death's finality may not be as final as originally thought after all).
However, I prefer saying that death is final in a strictly teleological way: for, indeed, the ultimate purpose (or finality) of death seems to be that of no longer allowing life to be active.
In denying life its centrality in the universe, I would say that, yes, death is (teleologically) final.
For philosophers such as Plato, Plotinus, Aristotle, Socrates, and many others, death is not the end because human kind is shaped by the soul and the soul is immortal because it is spiritual and because it has his own operation (according to Thomas Aquinas).