I guess they didn't believe in heaven...or maybe theirs was a "Valhalla" type of afterlife.
The only people who didn't have to worry about death were the immortals. THERE CAN BE ONLY ONE.
Tolkien was unclear about the afterlife.
Elves apparently lived forever, unless they were killed, which they could be.
Death was called “the gift of men,” which I can understand, but the sickly old age which precedes it is no gift!