The problem is that they have accepted the manipulate version of the Gospel message that has been promulgated by the Catholic church for centenaries.
Whatever we personally think, we have to see what the word of God in the Bible says about the state of death.
We are told that we breath our last, we expire and we know no more. We are told that when we go to the grave we cannot praise God or know anything. But if we have been faithful and obeyed God we will have repented of our sins, been baptised in water to symbolically wash them away and then tried to lead a life with the LORD God and His son Jesus as our guides.
Here are some verses which tell us about the state of death:
Psalm 6
5 For in death [there is] no remembrance of thee: in the grave who shall give thee thanks?
Psalm 115
17 The dead praise not the LORD, neither any that go down into silence.
Ecclesiastes 9
4 For to him that is joined to all the living there is hope: for a living dog is better than a dead lion.
5 For the living know that they shall die: but the dead know not any thing, neither have they any more a reward; for the memory of them is forgotten.
But we are taught that there is resurrection when Jesus returns and the faithful will receive everlasting life in the coming Kingdom.
Luke 20:37 Now that the dead are raised, even Moses shewed at the bush, when he calleth the Lord the God of Abraham, and the God of Isaac, and the God of Jacob.
1 Corinthians 6
14 And God hath both raised up the Lord, and will also raise up us by his own power.
1 Corinthians 15
51 Behold, I shew you a mystery; We shall not all sleep, but we shall all be changed,
52 In a moment, in the twinkling of an eye, at the last trump: for the trumpet shall sound, and the dead shall be raised incorruptible, and we shall be changed.
53 For this corruptible must put on incorruption, and this mortal [must] put on immortality.
54 So when this corruptible shall have put on incorruption, and this mortal shall have put on immortality, then shall be brought to pass the saying that is written, Death is swallowed up in victory.
55 O death, where [is] thy sting? O grave, where [is] thy victory?
56 The sting of death [is] sin; and the strength of sin [is] the law.
Isaiah 26
19 Thy dead [men] shall live, [together with] my dead body shall they arise. Awake and sing, ye that dwell in dust: for thy dew [is as] the dew of herbs, and the earth shall cast out the dead.
If we are faithful, when we die we sleep in the dust of the earth awaiting resurrection when Jesus returns.
Going to Heaven, or hell, or purgatory are all inventions of the Catholic church to keep there member in fear and paying indulgences.