Mortality only exists in the Mundus. The gods 'died' because they gave up parts of themselves to become the Mundus. In contrast, the Daedra are and inseparably their realms. They gave up nothing to make them, and they aren't gods within them as much as they are everything. Because the realms weren't built on limitation, death does not exist. http://www.imperial-library.info/content/monomyth-cyrodiilic-shezarrs-song explains this well.