Almost every line in "Eldorado" is about death, whether it's the knight's approaching death (his strength fails, he must go down the "valley of the shadow") or the death of his dream of ever finding Eldorado. One also feels, while reading the poem, that the knight's whole life has been a living-death. He's so obsessed with Eldorado that he hasn't really lived. Even towards the end of his life—with Death sitting on his doorstep, ringing the bell—all he can think about is Eldorado.
Beware! If we become too consumed with a particular goal, we will end up like the knight, whose life has become a living death.
Death?! Puh-leeze. The knight's dream of finding Eldorado makes him not fear death; or rather, his dream of finding Eldorado makes death seem less scary or less important.