People sometimes respond that death isn't bad for the person who is dead. Death is bad for the survivors. But I don't think that can be central to what's bad about death. Compare two stories.
Story 1. Your friend is about to go on the spaceship that is leaving for 100 Earth years to explore a distant solar system. By the time the spaceship comes back, you will be long dead. Worse still, 20 minutes after the ship takes off, all radio contact between the Earth and the ship will be lost until its return. You're losing all contact with your closest friend.
Story 2. The spaceship takes off, and then 25 minutes into the flight, it explodes and everybody on board is killed instantly.
Story 2 is worse. But why? It can't be the separation, because we had that in Story 1. What's worse is that your friend has died. Admittedly, that is worse for you, too, since you care about your friend. But that upsets you because it is bad for her to have died.

Actually, I think the universe is better for me with my friend being alive in it, even if I won't ever see her. My utility function is defined over the world states, not over my sensory inputs.