...because they sink deeper into someone's mind, heart, soul, whatever..and go beyond being just a distraction of entertainment...to being somewhat of a real person, that you know.. who died.
Also, I think you mean why celebrities who die young..or die with a twist of drama.
George Carlin, Brando and Hitchcock are celebrities that are remembered and cherished for their years of excellent work...but they won't be remembered in the way Heath Legder, James Dean, Bruce Lee...etc are remembered.
'Coz they all died old men. They did what they did.. and they died like another season that passed.
Also... a icon that dies in it's prime does not tarnish, but remains...like something otherworldly and untouchable.