In all likelihood, the FBI is involved because they want to know how this guy planned the attack, if he acted alone, etc. Yes, he's dead, but if he had help pulling this attack off, the FBI wants to know who helped him.
The 9/11 hijackers died, too - that didn't mean the FBI (and CIA and DOD, etc.) didn't investigate what happened leading up t othe attack.
I understand all that it just seems they have no reason to take over the entire investigation and shut down the media from finding out names, etc. I use to trust the FBI explicitly but not so much these days. Thanks to Obama and his band of Marxist cronies.