I think the reason it is so appealing is that it is the ultimate materialistic dream and the lure of physical immortality. It is also something they are familiar with so it keeps them in their comfort zone. Nothing physical can last forever. It goes against all the laws of physics.
To think of entering a totally different dimension or spiritual world when you die scares most of the Witnesses that I know. Even likening death to sleep is another way of running scared, as you say. I know that the lure of never having to die is what got me into that cult as a very idealistic teenager.
It never ceases to amaze me how much they denounce materialism, yet the reward they all are running after is materialistic, not spiritual.