Death, has always been described as the worst and ultimate punishment for those of both good and evil. Death exists everywhere, Death happens everywhere. Death being a single concept that has always existed since the beginning of time, the heavens, God and the angels, the war of Lucifer's rebellion and his banishment. It has no physical form, so as the Death Devil is the only other being aside from celestial beings and possessors, it can freely choose it's own appearance the way it wants.