Most religions are based on the idea that only the body dies at death. Being "saved" is a reference to the concept that humans have an immortal soul that continues after death. This "soul" version of yourself does not get to choose where it resides. The saving part is a reference that your soul will be placed in a realm referred to as "heaven" or a negative place referred to as "hell".
Jehovah's Witnesses do not believe in an immortal soul. They are caught up in a physical version of immortality. For them its one's future on a world ruled directly by God that they believe is at stake. So, either you die and are no longer conscious or you live forever. Not as dire stakes as other christian faiths.
The Semitic religions of Judaism, Christianity, and Islam have this common thread of falling from perfection, sin, and the need to gain redemption (being saved). I don't know of any other religion that teaches this. It's a horrible concept that puts needless guilt on people.