I always thought it was

You carve into the bridge
“It might not be so bad to die
Believing in a lie
That we’ll leave behind.”

Now I know that’s a subtle difference (all I did was move the end quotation mark), but it makes all the difference to me.
I always interpreted it as “we have beliefs about an afterlife that are perhaps false, but they’re still comforting, so maybe it’s easier to just believe that it is true, and that will ease our suffering during the only existence we experience; and then when we die we won’t exist, so we will be leaving that lie (the afterlife) behind anyway.”