Various cultures, religions, spiritual people want to deny this. They're probably happier for it, but I can only accept the dull explanation that we just stop and it's not very interesting.
I don't find this view makes me particularly unhappy. In fact, 'living' forever in an afterlife seems incredibly stressful, given that you need to work towards that all the time (and you have no idea at all what it's actually like). Having a clear end makes things so much easier - you have a realistic timeframe you will live in and once you die, you have nothing to worry about anymore.
What I find somewhat strange is that people who say they don't want to live forever don't seem to mind an afterlife. Maybe something to ask them about the next time.
That possibility makes sense, but I don't really know enough about the universe to be certain.
Here's where the idea of life after death really breaks down for me: If you have a degenerative disease when do you get to this afterlife? Some people have effectively died long before they die, in terms of mind. If you see this as a process that is entirely physical it makes sense, it's sad but it makes sense. If you think there's something non-physical there then it poses some really hard questions: did they die already? why do personality changes happen if who a person is is contained in some non-physical thing? when they do die does the degenerated form go to the afterlife or the whole, and if its the whole then what happened to the person that was degenerative? Now throw in non-human life where we have a continuum of brain complexity down to nothing and ask similar questions - it just makes no sense. Unless you hold humans above other animals, which I find really distasteful and short sighted. Really though, if you try to explain all this you're just explaining away needless complexity to justify wishing for something that seems very unlikely.
A christian chap I used to live with told me that after we die our soul goes to heaven but its just our consciousness and not our personality, and we spend the rest of all time praising god. Well, not me, I was going to hell for not believing. Honestly, of the things he described, not sure which sounded better, but a materialistic death definitely trumps either of those options.