Users often mix heroin with benzos and/or alcohol which increases the level of risk enormously. The vast majority of overdoses are caused by mixing CNS depressants in with heroin, not by heroin use alone.
If you can't get a steady supply then withdrawals are vicious and can cause a host of other problems (crime in order to get money for more heroin being a commonly cited one).
One of the ways that heroin itself can cause overdose deaths is relapses - users may take a dose that they were previously tolerant to. I believe this is still far less of a danger than combining with other substances.