Well, it would certainly seen anticlimatic, won't it, if Gandalf were to get shot through the eye by a sneaking orcish archer after returning victorious over death?
Gee, Istari (Wizards) are supposed to be Maiar of some sort. That is 'gods' (angels) in Westron
Apparently, these Wizards CAN be killed physically. Spirtually, however, they seem to be subservient to a higher order: eg. Gandalf being sent back, Saruman being rejected by the West after dying. Oh, by the way, the West means Paradise in layman terms.
Anyway, I would not suppose Prof T would write Gandalf to death just with any trivial accidents that are so often fatal with common men like you or I.