>>718728217
They were Cosmic beings like Arceus, they couldn't die of their own accord. They didn't even want to "die" as much as the concept was, it was just that they were frightened by the prospect of existing after not existing for eternity.
This is subtly reference in the early games where all the Regis first move that they learn is explosion, because their creator didn't want them to have to exist if they didn't want to (then gamefreak changed this for "balance reasons.")