One who has never experienced something higher certainly thinks that pleasure refers to this body. By nature, the living entity is ananda-mayo ’bhyasat—a pleasure seeking being. Thus it is easy to understand how it can be fearful to have to face death without having taken shelter of Krishna. The devotee takes shelter of the Supreme Lord by his constant remembrance of the Lord, and thus when faced with difficulties in life, he can remain equipoised.
LFD Vol 3,Fearlessness of the Devotee Pg 126, 6th paragraph