Actually, Moses did die, but Elijah was taken up into Heaven in a whirlwind, thus it is believed that he didn't actually die.
2 Kings 2: 11
"11 And it came to pass, as they still went on, and talked, that, behold, there appeared a chariot of fire, and horses of fire, which parted them both asunder; and Elijah went up by a whirlwind into heaven."
Technically speaking, Jesus also died but then rose from the dead 3 days later.