John, I think that's because although they may profess absolute faith that they're going to heaven...in truth they are still not quite sure of what lies ahead. They may have heard about some version of Heaven, but they still don't know for sure what it's like. They still fear the unknown territory of death and feel safer with the known territory of physically embodied life. Additionally, there may be many things here that they value and don't wish to leave behind...family and personal relationships, their possessions, their own body, their social role, etc...and because of that they aren't anxious to die too soon.

I figure life is a lot like a part in a stage play. You want to play it out right to the final curtain call...unless your specific dramatic role requires an earlier departure. Even then, though, you'll still want to show up at the final curtain call itself along with the rest of the cast. And then everyone goes out and has a big party afterward. At the party you meet Woody Allen, and he starts explaining to you the problem that he still has with the whole idea of "God", death, love, sex, guilt, and judgement.... ;-)