First it assumes that there is something worse, much worse in fact, than death. Second, it tacitly claims that there is existence after death.
We tend to focus on the event of death. But the implication of Christ’s command here is that should not be our focus. I am currently reading, I believe I have mentioned this before, D. A. Carson’s book, Praying with Paul: A Call to Spiritual Reformation. In it he points out that the ground of all of Paul’s prayer is a focus on the reality that we are to live eternity in the presence of Christ, in our glorified state. Carson’s point is that is what drove not only Paul’s prayer but his approach to life. He lived in light of his ultimate end, which guided his prayer and his life choices.
In Luke 12:5, Jesus tells us why we should not fear those who threaten murder. His reasoning aligns with Paul’s or better Paul’s aligned with Jesus’. Those who would kill us have no power over us after they do so. God however, has the authority to cast us into an eternity in Hell.
That is something to fear.