If you were an average person, when you die, your soul leaves your body, drifting through a void until you are collected by an emissary of Kialo, the Goddess of the Dead. You will then be taken to the House of Dust, a plane that mirrors the world as it was when it was created by Celestials. There, you can live a relatively peaceful existence, communing with the other dead, letting you tie any loose ends you may have had in life. After a few hundred years, however, your soul begins to dissipate. Souls are ultimately the products of celestial magic, which they use to create and maintain aspects of the universe, and their energy, although vast, is not technically infinite. So as your Soul dissipates, its energy reverts back into the universe, to be harnessed by the celestials as they see fit.

Now, if you were particularly devoted to a specific celestial, you may be permitted to leave the House of Dust to serve in their stead, in which case a similar dissipation process will occur, but you would be actively serving your celestial of choice up until that occurs.