I assume you woke when you "died"? I know the adage you speak of but I'm not sure if it has to do with you can't literally die or just dream of dying. I think when you are murdered or die, as in your dreams you wake up right away, that's the end of the dream so your dream character doesn't really know what it is like to be "dead"? And, obviously, if you wake, you didn't die when you dreamed you died. If you had died when you dreamed you died, no one would know as we can't know what the person was dreaming if they die, so it's a bit of a catch-22.

It could just be a way to end the dream for you. Sometimes I have heard a phone ring in the other room and have awakened to answer it, of course, but there was no phone ringing and it was a "wrong," dream room :-)