This is what Pi, a shipwrecked adolescent who is fascinated with religion and the meaning of life, cries to Richard Parker, a shipwrecked Bengal tiger, as he throws a life buoy, hoping to haul the tiger on board. As strange as it sounds, Richard Parker is more than just a tiger--he's a true character and while Pi fears him, he also credits him for keeping them both alive as they drift afloat on a life raft, hoping to be rescued.
The quote is important for several reasons. First, it shows Pi's habit of speaking to Richard Parker as a human being who can understand his complex thoughts. Also, observing that Pi uses the word "we," we see that he is creating a community that includes himself and the tiger. They share some of the same fears, thoughts, and goals, at least according to Pi. This is the beginning of a strong dependency between the two characters. It also reflects Pi's dual methods for explaining the mysteries of life--religion and zoology (eNotes The Life of Pi: Themes). It's interesting that Pi would mention the tiger's "fear of immortality," particularly when Pi himself is pretty frightened of Richard Parker's man-eating potential. But he chooses to place the spiritually oriented fear above the physical fear.
This quote also reflects Pi's "lifelong interest in and dedication to religion" (eNotes The Life of Pi: Characters). He references "fear of immortality," meaning a fear to die and face the immortal afterworld, which Pi's belief in a higher power reinforces. He is making an observation that "we"--people and, apparently, tigers--fear meeting our maker, even when our life on earth resembles the worst case scenario, "hell." For a cat, even a big one, being surrounded by water is a personal hell. For Pi, having lost everyone and everything aside from a beast who could potentially eat him is pretty hellacious, too. Still, both are fighting to survive, indicating that they fear the possibilities and wonder of the afterlife.