Socrates, in Apology, Crito, and Phaedo, gives multiple reasons why he does not fear death. Some are grounded in his own personal circumstances and some apply to all people equally.
The first types of reasons are grounded in his own personal circumstances. He points out that he is an elderly man, especially in light of the medical technology of the period, and therefore was close to death by natural causes anyway. He had lived all his life in Athens and would prefer to die among his friends than to try to start a new life in a distant land in his old age. He felt that exile would be worse for him than death.
Next, Socrates points out that there is no evidence that death is a bad thing. He suggests death could be like a permanent sleep and reminds his audience that all people enjoy a peaceful night's sleep and that if death is like sleep, it should not be considered bad or frightening. Socrates hopes, though, that there may be some sort of afterlife in which souls get to return to the divine in some way and perhaps even converse with the great wise people and heroes of the past, which would be something positive.
Finally, philosophy trains people to care less about material and more about spiritual things. The final goal of philosophy involves detachment from the material world and the progress of the soul toward the divine, and so, as Socrates points out in Phaedo, all of philosophy is a form of training for death.
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