I believe people invented religion to explain the unknown, and that the modern religions all surround the last bit of "unknown." We no longer wonder which god is angry when the tornados come.
As for death, it's a non issue after but while alive the idea of cessation of though, including recursive thoughts like those about the knowledge of what death means, can cause a great amount of anxiety if you think about it. But you're choosing to think about it.
The difference between man and the animals is that animals have no awareness of their own death. You can look at society as man trying to justify their existence by creating works to escape death, through writing, building, accumulation of knowledge.
All anxiety seems to be death based in one way or another.