Thanks for the clarification. In Hinduism, (and I suspect other eastern traditions) that death is merely a transition. What is immortal is the essence of the soul, termed the Self, transcendent Reality. The ego, physical body, personality, all cease to exist. So the 'we' you speak of is being looked at from two very separate paradigms.
But back to your original question... it's kind of odd, because death (the kind you're referring to) is there, period. Are you suggesting somehow that religion is a result of people pondering, "What happens when we die?" of "Why do we die?" if that's the case, then I would disagree, simply because there is much more of the unexplained going on while we're living than just that idea, which is far more easily understood than some of the other mysterious events, like mystical realisations, for example.
I have always found these sorts of things difficult to discuss when the beginning paradigms (subconscious programming as to what religion is) are so far apart.