He doesn't need to. Since they started heading into the TV to save people, he's died a hundred deaths, and each one is ultimately less satisfying than the one before it. He's been skewered and poisoned and confused enough to hit himself with his own weapons and beaten with manifested fists and charged by giant animals... And even though there's pain and then a moment with the cessation of all of that pain, his heart seems to break a little every time he's brought back and then there's sensation again and knowing that he's a clumsy fuck-up who people can't even properly hate because he's too pathetic.
In the shadow world, he gets to die a hero every time because he's defending his partner or attacking some horrible creature on the way to save whoever's been pushed in there, and if even that feels lackluster... Maybe he just doesn't want to die as much as he thought.
Living sucks, really, but he does have people to call and talk to now. And he thinks that, sometimes, they don't actually mind him doing it; don't mind him saying ridiculous dirty jokes over the phone at midnight, and don't mind him talking on and on about how much it sucks that, in a small town, almost everyone's parents do something that Junes gets in the way of, and they don't mind him, well, being himself.
He's never had that luxury before.
But it does strike him as almost funny that his social time is spent, a lot of days, getting killed. He'd wanted it; wished for it. Until Yu had moved to town, Chie was pretty much the only one who put up with him and he couldn't talk with her about everything that happened at home or at Junes or in the locker room at school, so he just kept sliding down a slippery slope of knowing that he could put a stop to it all, but being unable to even find the bravery for that.
Instead, he fought tons of battles, but it was because he was a coward. He didn't want them to see how weak he could be, and he'd worked enough at putting on a brave face for his parents that he could manage it in front of his friends.
So he didn't think about suicide, but he thought about running away. He thought of going to one of the tiny little islands at the tip of Japan and learning to make a living catching fish and mending nets, but then he'd think of how bad he was at fishing and just... dealing with fish and bait. So, maybe not that.
They'd get to the bottom of the murders eventually, right? Maybe he could figure something out then. Maybe this was just the fog getting to him like it was getting to everyone, and when it cleared, he could figure out what happiness felt like.
Only, who was he kidding? He'd get by like he always did by clinging on to whatever he could: to people, to friends, to life. At this point, dying didn't even really hurt anymore, so he didn't give it much thought. So he'd go on helping the Investigation Team until the end, he guessed, because he wasn't brave enough to do anything else.