"Over the mountainsOf the Moon,Down the Valley of the Shadow,Ride, boldly ride,"The shade replied—"If you seek for Eldorado!" (19-24)
The search for Eldorado can only end in death. This is why the knight must ride "Down the Valley of the Shadow" (i.e., go to his own death). This is probably because Eldorado symbolizes anything that simply cannot be obtained.