Hugh Glass has more near-death experiences than John McClane, so it shouldn't be surprising that the idea of burial hangs heavy over The Revenant. Interestingly, however, Glass hates the symbolic implications of traditional Western burials, instead preferring the funeral pyre ceremonies of Native American tribes.
After the bear attacks Glass, his comrades can't stop talking about digging him a grave. They certainly mean well (it shows that they want to show him respect even in death), but if Glass could talk, he'd tell them to save their effort.
We don't fully realize this until Glass builds a funeral pyre for the dying Arikara woman. As he stokes the flame, he thinks about the symbolic nature of the ceremony, which he had first experienced while spending a year with a Pawnee tribe. Check it out:
The notion of burial had always struck him as stifling and cold. He liked the Indian way better, setting the bodies up high, as if passing them to the heavens. (1.13.20)
Given its association with Pawnee culture, to say nothing the freedom it represents, the funeral pyre is an easy choice for Glass. After all, he's spent his entire life chasing freedom, whether on the high seas, the desert, or the frontier—it's only fitting that he does the same in death.