Many organisms can predict the future.
Hence the reason why a horse will stop at the edge of a cliff, because it knows it will fall and die. It may not understand, but it knows.
We humans, are so intelligent, that we can predict far-far into the future.
So far, that we know, we will die.
I can just imagine, the first couple of humans to come across such an existential concept.
To realize that no matter how much you eat, no matter how many predators you escape, no matter how strong you are.
You. Will. Die.
The idea that no matter what you do, no matter how hard you try. You and every one you ever loved or ever known, will die.
Must have been psychologically unbearable to these first minds.
Instead of these first humans excepting such a truth.
They instead think, "no..i don't die..no, I just go somewhere else, to some far off place. Where me, and every one I ever loved, will never die. There will be plenty of food, water, no threat of predators, just pure utter comfort. We will be happy...forever."