To be honest it's very unlikely that at least a part of most of us is not scared at the prospect of death.
To speak for myself - i've had meditative experience that suggests that what watches through 'me' is not of my body, or even individual, and is infinitely loving. It's hugely re-assuring. On the other hand there's an everyday part of me that most certainly is despite this deep knowing to say the least 'nervous'.
Viewed metaphysically that's pretty inevitable unless you are fully realised/have fully transcended identification with body and individuality as 'self'. Even if you have i think i've quoted before the famous Zen master who when asked what death was like said (approximately) 'better go ask a dead guy'.
To build on this. The words of the Bible (and not everybody would accept it as literal truth anyway) are very often open to very different and even multiple level interpretations.
The one the church has publicly taught - which has very often suited its own view and ends - can be said at best to be simplistic.
'Christ' is to many an aspect of pure loving conciousness or mind that incarnated in the purest of forms as a great teacher on earth. That's not to say it was the only time, or that it's not around all the time to varying degrees - it's inherent in all of us, but is only manifested inasmuch as we have awakened to love.
Christ's 'return' can be read much less literally than the church tended to do - as the point when all beings in this reality as a collective whole have returned to the state of pure loving Christ consciousness that prevailed prior to our separation from God.
Viewed from this perspective the ego or fear inspired but mistaken belief system that gives rise to the perception of a 'self' existing in this reality is unreal, and cannot survive.
Even viewed from the perspective of self it seems not to survive death (otherwise lots would surely be reborn with the same personalities), and it can't survive the return to Christ consciousness because there is no place for a fear inspired belief system in the Christ consciousness.
In more finite terms Buddhism teaches that in the afterlife we separate from the ego/personality, most of which is destroyed - what continues and is reborn seems to be some sort of archetype/set of tendencies.
So maybe there's an alternative 'view' (perception of the nature of things) that at least allows us to see that what we deep down know and feel is very probably true.
On the other hand if you fervently believe that existence is based solely on the body and thinking mind there's maybe a lot less that's encouraging about the prospect of survival around.
How can the typical person be anything but somewhat nervous of such wholesale change and loss of selfhood? The best that's available to us is the deeply felt 'knowing' that strengthens with spiritual work and experience, but in the end we're left with little option but to trust that all will be well.
To joke a little. I guess even if we are in our beliefs led astray by 'demons' (and i'm quite sure that most of what we theorise involves plenty of wishful thinking and hoping that 'self' survives) at least the non-physical existence of demons or other less realised entities suggests at least that there are at least ways of existing beyond the body....