After you die, how could you just not exist?
If you put a Menthos mint in a glass of Diet Coke, it causes a reaction that makes everything fizz up in a very dramatic fashion. It's all very exciting, but it doesn't go on forever. Eventually, it stops; the Diet Coke atoms and the Menthos atoms are still there, but the
reaction no longer exists.
That's what we are - the reaction. All our atoms and the bits that make us up existed before we were alive, and will exist after we die, but
you, the person who thinks of themselves as an individual or a soul, you are what happens when all those atoms get together and react with each other. So once you die, all your atoms are still there, but the reaction is not.
You no longer exist.
It perhaps makes more sense if you consider what would happen if you took pictures every second during the Menthos and Diet Coke reaction. You think of it as all being the same reaction, and it is, but no two pictures are going to look the same. In every single one, the all the atoms that make up the reaction are in different places, and new atoms are constantly being drawn in and expelled as the Coke slowly eats its way through the mint. The specific reaction in the first picture no longer exists when you're taking the second one - there are different atoms involved, they're happening at a different rate, and it even looks different. The same applies to you - the person you are right now is different, and I mean different on a very fundamental level, from the person you were 5 years ago. Take any cell from your body and chances are it is a lot younger than you consider yourself to be. The person you were 10 years ago doesn't exist any more, the person you were 5 years ago doesn't exist any more, and soon enough you won't exist. In your place will be the future stage in the reaction that you will consider to be the same person.
You're a constantly changing state of matter and energy, and every second, the past you is replaced with a slightly different new you - and I mean literally replaced, as the cells in your body are broken down and new ones rebuilt. The difference (and the confusion) comes with the fact that we keep a mental record of what we were, but that can stop existing too - we call it forgetting. It's not particularly weird to consider the idea of the Menthos and Coke reaction no longer existing, and so why should it be weird that the bag of chemical reactions (admittedly a far more amazing and wonderous chemical reactions than Menthos and Coke) that we are stops existing as well? We accept it when it happens everywhere else, so it seems stranger to imagine that it doesn't happen to us.
It's also a lot more boring to think of yourself as an unchanging constant, I think.