I think it depends on each individual. Some people have lived fairly happy lives with few disappointments so the thought has never crossed their mind.
In my case, the thought has crossed my mind but I never wanted to give up like that, plus I always said that I needed to stick around to annoy the people that hated me!
I think it shocks people because it is the end of life. There is no digging out of that hole, no coming back. The shock is almost like a sudden overwhelming sense of caring. People want to help those that are hurting, sometimes they just don't know how.