• Nothing in canon suggests that there's any sort of religion in Equestria. Even in fanfics I've read, I've only read one fanfic where someone made up an afterlife that some ponies believed in, and in many more that I've read, Celestia's name is actually used in place of God in various sentences, like "Oh for Celestia's sake!" Thus, it's unlikely they'd believe in an afterlife: Both in canon and the majority of fanon, the closest thing to a God appears to be Celestia herself.

I think this gives you useful material to work with. Just because immortality doesn't cause Celestia problems doesn't mean it wouldn't cause problems for everyone else. Celestia is divine, they aren't. She can claim, without coming across as too unreasonable if you manage it well, that the fact that she's lived such a long time without becoming bored or depressed simply doesn't generalize to ponies that aren't gods.

Also, considering that becoming immortal appears to go hand in hand with learning magic, she can take the position that not everyone who wants to live forever can be trusted to be responsible with that sort of power. She can be trusted with that sort of power because she's a benevolent deity, and she trusts herself to decide whether or not to trust a particular pony with that power, given time to observe and make a judgment, but she does not trust ponies in general to decide for themselves whether they are trustworthy.