The speaker of "The Chimney Sweeper" describes the chimney sweeper as a "black thing." Black is the color of death and other bad things. The chimney sweeper is well aware of the death-like quality of his life as well; he tells the speaker that his parents dressed him in the "clothes of death." Does that mean that in a way, his parents have murdered him? Metaphorically speaking, anything's possible.
Even though the child isn't actually dead, he's essentially dead to his parents, who would rather go to church; by lying alone in the snow, however, he also might die for real.
Even if we are close to death, there are ways to feel alive; the chimney sweeper, for example, dances and sings.