This can be ironic in that Willy actually dies shortly after making this statement, by killing himself in an automobile collision. Willy hasn't been well mentally for some time, as evidenced by the fact that he has been using a hose to breathe toxic fumes from the gas heater in the basement. He also has increasingly been experiencing hallucinations, in addition to flashbacks, and is unable to distinguish fantasy from reality at times, such as his brother Ben affirming his decision to kill himself.
Willy cannot deal with the pressure life has put upon him. On top of losing his job as a salesman, his son cannot find and keep a job, and he is unable to keep up with paying all of his bills. When he says he is tired to the death, he is expressing his sense of physical fatigue, but also, and more importantly, his sense of being finished with living. He is tired of his life that offers nothing but disappointment.