Though, there is some debate as to whether or not he actually died. Even the creator of Cowboy Bebop himself has said that he doesn't know whether he died or not. I suppose it was mean to be open to interpretation.
Besides, Faye obviously has some feelings for him, and while he tries his best to hide it, Spike even likes her a bit, so hell, it wouldn't be bad if he lived and came back right? I mean, with Ed gone and Spike dead, where's the dysfunctional family that Faye had come to love? It would all be for nothing if he just died.
In b4 "what about the fading star in the end credits? Proof he dies." He "died" before and was still alive, why couldn't it happen again? After all, he came out on top of the Syndicate's coup so wouldn't make sense if people in the Syndicate used their resources to fix him up again like before?