At the moment of death you're having your last memories, so dying alone is like going into the abyss alone forever. Dying with people is like going into the abyss with that company forever. Or something like that. It could be even more subtle than this. I'm speaking psychologically of course. Replace the abyss with whatever.

This may seem odd in logical terms but it seems to be a common understanding, and it's found in movies, books, etc.

[edit]It might be analagous to children who don't want to fall asleep without an adult with them. They are scared by the darkness and don't want to go through something scary alone.