It's a bit more complex. As christians, in death we believe we find the true reality, but since people don't really return to tell us what happened it is indeed an unknown that we fear.
However, there is much more to fear about death than what happens afterwards.
The process of dying is probably not the most pleasant experience, even though modern medicine can help with the physical suffering, it's often a longer process (illness or old age) of seeing one's body fail and I would bet that's not fun.
Also, when we know and accept that we die we also realise we leave behind all the things and people in this world, and in the end life itself, that we love. Not the unknown is the problem, but the known things that we have to let go of.
Imagine you are terminally ill, and it's spring outside, the birds are singing, all the plants are growing fresh green leaves, people are going outside and enjoying life it looks like the summer's gonna be awesome - but you will no longer be there to see it. The eternal circle of life goes on, just that you are no longer part of it.
Many people struggle with the things unfinished or unsaid, their failures that they can't undo any more, the people they disappointed, the unfulfilled dreams. People facing their own death in foreseeable future often feel great emotional pain about the end of their earthly existience. Or they wonder why, for example why did they get cancer despite a health conscious life, while their smoking and drinking cousin is doing fine? Facing one's death is a big emotional challenge in many regards.
The afterlife isn't really what I fear. Either we are right and there's an ultimately loving God waiting for us on the other side and all we do when we die is return home. Or we are wrong and there is no spiritual reality, in that case all we do when we die is fall asleep. I like falling asleep, so that's not something I'd fear.
What I fear is the finiteness of my existence, and that I will get to the point when I realise that my unfulfilled dreams will remain unfulfilled and I have to let go of all the things that I still wanted to do. Regrets and bitterness before my death, that's what I fear, and I guess that (plus physical pain and discomfort) is what many people actually fear about death.