In a poem that spends a great deal of time contemplating death, we would expect fear to be a big part of it. Death is scary, right? If you like life, doesn't that mean you dislike and fear death? Well, fear is certainly a part of "When Death Comes," and the images we see of death are fairly scary. But our speaker's impulse is actually to move in the opposite direction. She does love the world, but she wants to approach death with the same curiosity and interest as she does life. The suggestion is that perhaps death is another part of life, not something that is necessarily an end, or to be feared.
Our speaker connects being curious and embracing the world with living well and being able to face death without fear. She suggests, then, that fear comes from being distant from the world.