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That is exactly the threat of death, if, while alive, you value your ability to continue existing and caring about things.
Threats inherently operate by reference to your preferences before they are realized, not your preferences after they are realized. Once you have the post-realization preferences, it can't be a threat any more, because there is no longer a possibility of not realizing the consequences.
If death is non-existence, you can't be threatened after death, but death can still be a threat. You can't use the complete indifference that comes with non-existence to say that death is not a threat: it is only not a threat if you are indifferent to death while alive, which is possible (as is it's opposite) whether or not death is non-existence.
"You cease to exist after death, so what's to fear?"
"Well, my fear is that I will cease to exist, Einstein!"
Fear doesn't have to be with something in the future being painful. We also fear something not being how we want it to be (in this case, we want to continue existing, and death prevents that).
>since once you are dead you cease to exist and no longer care about anything
That's an argument about we wont feel fear after death.
It's not an argument about we can't fear death itself...
I would say it's all the other moments that make life valuable, not its end.
Epicurus said death is the end of body & soul, therefore not to be feared. Im not sure I agree with that nor the inverse, if god exists, death is to be feared? Why?
Hence, if God exists and there is eternal punishment, that is a little bit scary.
In other words, "we" have some abstract ideas about what happens when "we" die, but it's fundamentally impossible for you, the individual, to imagine what happens when _you_ die.
That makes no sense. There are some experiences of coming close to death, or what doctors consider death -- which is the mind/organs shutting down, etc.
There is (and can't be) no experience of actual permanent death though, nor has a dead person recounted their experience while a dead person.
The ones retelling the experience are always alive when they do it.