"The radio signal is not physical either."

That's a new one on me! As I understand it radio signals are physical phenomena (amenable to study and measurement by physicists) - it's just that we can't perceive them directly with our senses. And, yes, there may be other things out there that we can't perceive directly with our senses - 'absence of evidence is not evidence of absence' - but if we do discover them I would be prepared to bet heavily on them having some sort of physical reality.

As for what happens after we die - I don't know ... absence of evidence etc.