My players don't want to die

I'm a first time dm, and my players do not wish to run the risk of dying. How can I still make the game exciting? When I say dying, I mean.. permanently.

Many tips are appreciated! I did think of going a "sims 2" route where you meet with a being of death and "play for your life" But idk how to go about this.

Edit.

It's come to my attention that a lot of people here are the same people who believe playing Minecraft on "keep inventory" or peaceful is wrong. Why is making a game enjoyable for your group suddenly warranting people saying you should play another game all together?