In Fahrenheit 451, suicide is common. This is revealed by the nonchalance with which the technicians treat Millie after her overdose. It is not surprising that Beatty would just as soon die as remain alive.
Today, we call what Beatty does "Suicide by cop." Beatty commits suicide by firemen.
To know why Beatty commits suicide all you have to do is look at the society in which he lives. Beatty is intelligent--he's too intelligent not to know that his existence is lacking.
Ironically, Beatty allows himself to be killed for the same reason Montag begins reading books--his existence sucks.
The world they live in is mindless, superficial, unemotional, unenlightening, unfulfilling.
The real question is: why would anyone want to live?
An addition to the fine answer by my friend pohnpei:
Perhaps Beatty felt that life had become so superficial, so meaningless, that there was no reason to resist death when it came "knocking on his door."
When Montag first expresses his doubts about book-burning, Beatty gives him a long speech about the history and purpose of the practice. Part of his thesis is that people prefer to live a superficial life empty of the kind of thinking that reading books requires:
Ask yourself, What do we want in this country, above all? People want to be happy, isn't that right?...I want to be happy, people say...That's all we live for, isn't it? For pleasure, for titillation? And you must admit our culture provides plenty of these.
When life becomes so empty, there isn't much reason to resist death.
I think that Beatty wants to kill himself because he does not like the fact that his whole life consists of burning books. I think that he secretly really believes in books and can no longer take the idea that he is destroying them for his living.
In the story, we see Beatty being able to talk about books at many points. He is able to quote from books at length. It seems unlikely that anyone could have read that much just because he is trying to learn about the things he is destroying.
So I would say that he believes that books are important and he can no longer take the fact that he is destroying them.
I think that Beatty wants to kill himself because throughout the book, he is dropping knowledge on why they can't have knowledge. I also have to agree with dstuva and say that the fact that they live in a mindless, superficial, unemotional, unfulfilling world is kind of what pushes him to where he doesn't want to live anymore. In a way, you could almost say he is a martyr.