They're not just alone, they're dead for good at the end of it. It's like finding a way to escape the world entirely. I... guess you could say they're seeking a form of nonexistence.

[Yeah, Apollo didn't think he could ever be happy with something like that, either. But he probably just didn't have the right viewpoint for it. For all of his pessimism, the idea of wanting to escape from the world entirely just wasn't something he could get behind.]

Why does anyone want anything? It's a spiritual calling. They're trying to make sure they'll end up the way they want to when they die, just like in any other religion.