What is 'we' to us (and whatever other life is out in space) could be 'me' to the universe, and some philosophers like Spinoza have explored the idea of a "God" which is more or less defined as the empirical laws of this universe.
And sure, eventually this universe will also die. But that's okay, because it is also probably part of some larger entity which will also eventually end, and so on. That's how I choose to interpret the infinite, and it brings me comfort because it lets me see death as a change in perspective rather than a finality. It also helps me practice empathy, by not seeing much difference between what I feel and what others feel.
The idea of collective transcendence is also interesting. One work which explored it was Alpha Centauri, a Civilization-style game where the players' colonies crash-land on a planet which eventually turns out to be sentient thanks to global networks of fungus which act as neurons. If the player is eco-friendly, they can eventually communicate with the planet and dump their citizens' consciousness into the seemingly-immortal planet. Even that would only delay the inevitable, but to quote the game's CEO Nwabudike Morgan:
>I plan to live forever, of course, but barring that I'd settle for a couple thousand years. Even five hundred would be pretty nice.
Sound familiar, Thiel?