No, you can't die.

So, why can't you just knock off the lead character and end the story with a grand finally and tragic ending?

Because there has to be purpose. There has to be a redemption that results from the death. The sacrifice must not be in vain and the benefit must be for a worthy and justifiable reason.

Romeo and Juliet ended their story based on the sappy reason that life was not life without the other. The ultimate ending of a tragedy. But, Shakespeare wasn't exactly going for the Classic Hollywood Style.

The whole goal of the protagonist is to overcome the intense struggle against the antagonist. Using death as a last minute escape only relinquishes the power of the struggle over to the antagonist, and gives him the final upper hand.