In a sense, the Elves' leaving Middle-earth was akin to dying. Think about it. They always wanted to be able to leave Middle-earth, and not be bound to it, in the same way that Men were given freedom. The Elves were ultimately allowed to set sail West so that they could leave their past life in Middle-earth behind, and be healed of their wounds (both physical and emotional). That was their only way of escape, and if they were that desperate, then I think that they probably wished to be mortal, just so they wouldn't be bound to Middle-earth forever.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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