Auden was writing his poems during a time when all the cool poets were writing in free verse. These poets wanted to break poetry apart, make it less stuffy, more free and fresh.
But not Auden. This dude loved him some poetic forms. In fact, he's pretty much the master. Even while the other guys hated rhymes and all that formal poetry stuff, Auden stuck with them, and got really, really good at writing in forms. Much of the power of "Funeral Blues" lies in its repetitive, heavy rhymes, and its play on the elegy form.