Because you get to live and do whatever you want afterwards and still meet your life objectives?
This guy (http://en.wikipedia.org/wiki/Jos%C3%A9_Mujica) has spent 14 years in prison including two in a solitary pit, with a rat he domesticated as his only companion. He is the country's president now.
People will respond differently when faced with the same challenges. Just because one guy can spend 14 years in prison and 2 in solitary confinement is no reason to assume that we'd all fare that well. Plenty of people commit suicide in prison and never make it to the outside, let alone to become president of their countries.
No objection to that, people are not completely rational agents. I was merely pointing out that suicide in this case is hardly a rational choice.