Because it seems like the only thing he *can't* do.
He's been stabbed, shot in the head, vaporized... pretty much nothing has taken him down for long. And his one true love is Death herself (yeah, that old trope of wanting the girl you can never have). All evidence suggests that Deadpool can't actually die. Wouldn't he get lonely after a while? Watching everyone he knows die... I wouldn't wish that on anyone.
So, that's Deadpool on the left, yeah?
Sorry to get all ~dark~ on you Mercs... what can I say Tuesdays give me the blues! @LAVONYORK you're the expert on all this, what say you? Does Deadpool have a deathwish?