It’s okay to be sad that you’re not dead. Whomever it was that you lost has gone over a threshold without you, one that most of us are unwilling to cross without the aid of religion or other beliefs. Beyond the threshold, no one is waving from the other side. There are no visual assurances that your loved ones are there. No letters during the holidays are received to tell you about it. Dying is a one way ticket into the unknown; it is the antithesis of what we do know.
To paraphrase the late Alan Watts, you cannot have a wave without crests and troughs. Life implies death, and vice versa. Crests are like life; the high points of our living existence. Troughs are like death; the sallow breaks between each crest.
It is okay to die, and it is also okay to be sad that you are not dead.