Pointing his gun towards his own head, Shinji prayed there was no afterlife. But not because he was afraid of going to hell for killing so many innocent people. “I don’t just wish to die”, Rei told him, “I wish to have never existed”. So after killing Rei, he spent his life killing erasing every trace of her existence, killing every person who ever knew her, even his own friends, and now finally he has gotten to his own self. So if all that time Rei kept existing in some form of afterlife, that would be really depressing, wouldn’t it?