I guess that's because in physics, space is never empty but contains "vacuum energy." So it isn't "nothing."
Every one of us will experience (not the right word, but, what?) "nothing" when we die. That may sound strange coming from a guy who goes to church every Sunday, but I can come to no other conclusion, and I believe it's the most merciful outcome. I've written about all that already so I shan't repeat myself.
For each of us, our world, THE world, will CEASE TO EXIST when we die. Having settled into that idea I'm not afraid any more.