What you feel is very strange! How many times did you hear of deaths in Makkah before! On the other hand, how many die out of car accidents or after undergoing an operation,yet I don’t see you refraining from riding cars or visiting the doctors!
To die in that state is a blessing! However we don’t wish for death but we ask Allah to give us a good end.
You shouldn’t be scared! If it is written for you to die, you will die in any place no matter what!