Psalm 116:15 (NKJV)
Precious in the sight of the Lord Is the death of His saints.
We mourn when a loved one dies. If you know that person was saved and heaven bound, it is sweet sorrow. The sorrow is for us, the sweetness is for them.
I heard a story about an old couple who had just arrived in heaven. They were overwhelmed at the beauty of it all. The husband turned to the wife and said, "You know, if you had not feed us all those bran muffins and yogurt all those years, we could have been here ten years ago!"
We fear death because it is an unknowable journey away from the comfort of our life here. Like the unborn baby being made terribly uncomfortable when he passes from his mother's womb to the bright new world, so might death be.
2 Corinthians 5:6-8 (NKJV)
6 So we are always confident, knowing that while we are at home in the body we are absent from the Lord. 7 For we walk by faith, not by sight. 8 We are confident, yes, well pleased rather to be absent from the body and to be present with the Lord.