The death of our universe is as certain as our individual death. Some cosmologists have elaborated models which would make the cosmos immortal. In this paper, I examine them as cosmological extrapolations of immortality narratives that civilizations have developed to face death anxiety. I first show why cosmological death should be a worry, then I briefly examine scenarios involving the notion of soul or resurrection on a cosmological scale. I discuss in how far an intelligent civilization could stay alive by engaging in stellar, galactic and universal rejuvenation. Finally, I argue that leaving a cosmological legacy via universe making is an inspiring and promising narrative to achieve cosmological immortality.