The Gift of Man

[Lindolirian]

They (the Eldar) cannot escape, and are bound to this world, never to leave it so long as it lasts, for its life is theirs. And you are punished for the rebellion of Men, you say, in which you had small part, and so it is that you die. But that was not appointed for a punishment. Thus you escape, and leave the world, and are not bound to it, in hope or in weariness. Which of us therefore should envy the other?

This was said by the Elven messengers to Tar-Ciryatan of Numenor, when the Numenoreans first began to envy the immortality of the Eldar and Valar. This quote pretty much gives me a good idea of why Death is the Gift of Men.