Depending on how much time is invested in a character (writing new concept, building new character's stats, backstory, miniature, sketch, getting inserted into the party), it's a serious drawback for a working player to make a new character. Not everyone has that time to spare.
Not everyone has fun changing characters often.
Not everyone has fun losing a favorite character.
Not everyone has fun risking their favorite character.
And not everyone has fun if there's no risk of character death.
If not everyone has fun, then the game failed at its goal. Such a group should either adjust the playstyle, or split.
As far as "risk" in a game is concerned, compare::
A) GM: "Sir Bolivar died. Make a new Character."
Player 1: "Oh, cool, I can try this new concept with the new build I read about, using the new splatbook I bought. Standard treasure for average party level? My new character will blow my old one away."
B) GM: "The last of your group falls before the might of the Archdevil. You have failed! All is lost, the Fair World is plunged into eternal darkness, and fiends prey on the last free humans!"
Players: "Ok, for the next campaign, I say we pick Greyhawk. I'll be playing a fighter this time."
C) GM: "You failed to foil the plot against Sir Bolivar, and now you all have been branded a traitor to the crown, your families banished and you are on the run from the royal order of knights while the bards spread the fake tale of your treason. Friends turn their back on you, and common folk spit at the mentioning of your name."
Player 1: "Ok... We need to clear our name, and avenge the dead prince. But first we need to escape this island where we jumped ship to, then find a way to tople the real traitor, all while we are reviled throughout the land... Can anyone get rid of those chains, by the way?