Krishna instructs Arjuna about this in the Bhagavad-gita, thus helping him to understand that the body is simply clothing that one takes off at the end of life, and puts on a new set. It is due to attachment to enjoying within the body that death becomes really fearful. Srila Vishvanatha Cakravarti Thakura describes it as abhinivesha, which means to instinctively cling to the conception that enjoyment is meant to be done with this body, and death means the termination of all enjoyment. This notion is actually described as ignorance and is the binding force that keeps the living entity attached to the material world.
LFD Vol 3,Fearlessness of the Devotee Pg 126, 5th paragraph