Philosophers like Tomas Aquinas and Agustin Hipona wrote that we have fear of death because we were not born for it. Agustin Hipona, De Civitate Dei/City of God, Book XI, Ch. 11, 27
What! do not even all irrational animals, to whom such calculations are unknown, from the huge dragons down to the least worms, all testify that they wish to exist, and therefore shun death by every movement in their power? Nay, the very plants and shrubs, which have no such life as enables them to shun destruction by movements we can see, do not they all seek, in their own fashion, to conserve their existence, by rooting themselves more and more deeply in the earth, that so they may draw nourishment, and throw out healthy branches towards the sky? In fine, even the lifeless bodies, which want not only sensation but seminal life, yet either seek the upper air or sink deep, or are balanced in an intermediate position, so that they may protect their existence in that situation where they can exist in most accordance with their nature.
Quid? animalia omnia etiam irrationalia, quibus datum non est ista cogitare, ab immensis draconibus usque ad exiguos vermiculos nonne se esse velle atque ob hoc interitum fugere omnibus quibus possunt motibus indicant? Quid? arbusta omnesque frutices, quibus nullus est sensus ad vitandam manifesta motione perniciem, nonne ut in auras tutum cacuminis germen emittant, aliud terrae radicis affigunt, quo alimentum trahant atque ita suum quodam modo esse conservent? Ipsa postremo corpora, quibus non solum sensus, sed nec ulla saltem seminalis est vita, ita tamen vel exiliunt in superna vel in ima descendunt vel librantur in mediis, ut essentiam suam, ubi secundum naturam possunt esse, custodiant.
(I prefer that one in Latin because To translate is to betray)
So those who share Life are afraid to lose it, and living things share Life, because if death was ours then we couldn't lose it.
For theist philosophers like Plato, Plotinus, Aristotle, Socrates, and more, you should be afraid of death because at the end (when humankind dies) we will be judged by God if we have loved one another.
Another, more poetic, point of view come from
J.R.R. Tolkien, The Silmarillion, Ch. 1, Of the beginning of days
[Iluvatar] But to the Atani I will give a new gift.
On the beginning of world that host the adventures of Middle-Earth Iluvator, that is the name of the Creator on Tolkien, gives the death is a gift to the Atani/humankind. Elfs instead remain alive still the World is life. Basically there are strong linked with the World but that doesn't make them happy indeed the prefer go back to Valinor where the Valar lives