The speaker in "Annabel Lee" is distraught because his beloved Annabel Lee has died.
The poem begins with the speaker describing the incredible love that he and his beloved Annabel Lee once shared. He comments that he only thing Annabel Lee thought about when she was alive was how much she loved the speaker. They were young and shared a love that was so intense that it made the very angels in heaven jealous.
The speaker uses symbolism to first describe the way death snatched away Annabel Lee:
And this was the reason that, long ago,
In this kingdom by the sea,
A wind blew out of a cloud, chilling
My beautiful Annabel Lee;
This "wind" represents the force of death, and it "chilled" Annabel Lee—meaning that it took her life. This marks a definite shift in mood in the poem, and upon first reading this line, it may not be clear what this "wind" represents. The speaker follows this by commenting that "her highborn kinsmen came / and bore her away from me." These are Annabel Lee's relatives, and it seems that they have a higher social rank than the speaker does.
The next line solidifies Annabel Lee's fate:
To shut her up in a sepulchre
A sepulchre is a tomb. There can be no mistake at this point that Annabel Lee has died. At the end of the following stanza, the speaker returns to the symbolism of the wind as he comments,
That the wind came out of the cloud by night,
Chilling and killing my Annabel Lee.
The wind that "chilled" Annabel Lee is responsible for her death. Regardless of this loss, the speaker comments that his soul is so intertwined with that of Annabel Lee that they can never be fully separated. Thus, he lies by her tomb each night so that they can be together.