I'm not an authority, but in my personal experience that can definitely make things much worse. A person in that state might not be able to see the absurdity (to them, it's the least painful option -- which is very logical and not absurd at all). You run the risk of sounding like your having a laugh at their misery on their expense.

I'm not sure general advice is possible, but if I had to give some it would be the exact opposite: compassion; acklowledging their pain; understanding that they most likely don't want to die -- they just cannot bear living. Be a person they can talk to. Let them know you take their problems seriously, and that they have value to you, just for existing.