Maybe he'd like to explore a variety of faith traditions' beliefs in after-life existence?
It seems like my DD was about 4-6 when we explored some of those concepts-- not with a right/wrong approach, just with a "this is what this religious tradition holds to be true," kind of logic.
She found some of them silly, some of them weird, some repellent, and some too strange to really gets one's head completely around.
We let her know that ALL of those are appropriate responses, since this is all belief-based, and that different people can believe really, really different things.
One stressor that can emerge pretty early is with a child that faces the reality that their own inner landscape, faith-wise, is incompatible with family traditions. Some faiths are better about that than others. My own family pretty much espouses the notion that I'm going to burn in a lake of fire, incidentally... and this was a clear outcome in my mind by the time I was about seven. It made me very sad.
