If you die in a dream, will you die in the physical world? Or if your falling from a building and you don't wake up before you hit the ground will you die or feel any pain?
Dying in a dream is symbolic of the death of a part of you, or death to a certain way or aspect of your life. So no, you won't die physically from dreaming it.
Falling in dreams is usually just the astral body reeling in quickly after something has disturbed or excited your physical body. I once wrote a dryly humurous story about the Splat Zone at the end of falling dreams, but not many people got the humour... a diet of old insane British comedy like Monty Python, The Goon Show, etc, will do that to you.