Quite simple. There have been some times in my life where I sincerely wished I could just cease to exist. As in just vanish into nothing. If I were an atheist, then suicide would be the closest possible thing to what I wanted and therefore the best option.
According to my religious beliefs, our physical body can die but our soul, essential being, or whatever you want to call it does not. That soul goes to another world. It could be heaven, hell, purgatory, or reincarnation as something else. The point is, it goes somewhere. So, I would not really cease to exist but could go to a world even worse than this one. In any event, I have been created for some purpose in this life and taking an early exit would be giving a middle finger to the one who created me. Whether I like it or not, God is in charge and I may as well please him.