"But I would not have you to be ignorant, brethren, concerning them which are asleep, that ye sorrow not, even as others which have no hope." (1 Thessalonians 4:13)
The hope of the Christian is the resurrection of the dead in Christ and the rapture of living believers at His second coming. This is the primary theme of this epistle--especially verses 4:13-5:10. In fact, it is significant that this book, possibly the first of Paul's epistles chronologically, is also the one with the largest number of specific references to Christ's second coming.
If it were not for this hope, we would have no hope for the future. "If in this life only we have hope in Christ," Paul said, "we are of all men most miserable" (1 Corinthians 15:19). When an unbeliever dies, he dies without hope. When a believer dies, he is simply "asleep," as far as his body is concerned. At the same time, his soul and spirit go to be with the Lord until the resurrection day. Perhaps it is analogous to the state of dreaming, when the body is asleep in bed, while the person's consciousness seems to be engaged in varied activities far from where the body is resting.
The Bible uses the term "sleep" to describe death only in the case of Christians--never for non-Christians (see John 11:11; etc.). There is genuine sorrow, of course, when a believer dies, but that sorrow is softened and sublimated by the "blessed hope" of Christ's return (Titus 2:13). "For if we believe that Jesus died and rose again, even so them also which sleep in Jesus will God bring with him" (1 Thessalonians 4:14). The souls of those whose bodies are asleep have gone to be with the Lord, and will return with the Lord when He returns. "The dead in Christ shall rise first: Then we which are alive and remain shall be caught up together with them in the clouds to meet the Lord in the air" (vv. 16-17). HMM