Anas ibn Maalik said:
“The Messenger of Allah, sallallaahu ‘alayhi wa sallam, said: ‘Let none of you wish for death due to a harm that befalls him. If one must say something, then let them say: ‘O Allah, keep me alive as long as being alive is better for me, and take my life if death is better for me.’”
An-Nawawi said
“This narration explicitly mentions the disliked nature of the act of wishing for death due to a harm that befalls an individual, such as poverty, being tested with an enemy, and other such tests of this life. As for if a person fears harm or a trial in their religion, then there is no such disliked nature, due to the implied meaning of this narration.”
In fact, some of pious predecessors did that, such as `Umar ibn Al-Khattaab who said towards the end of his life, “O Allah, I have become old and have grown weak, and my subjects have spread all around, so take my life to you while I have not lost or been negligent in what You have ordered me to do.”
Abu Salamah ibn `Abdur-Rahmaan (a Companion) said: “I visited Abu Hurayrah when he was on his death bed, held him to my chest and said: ‘O Allah, cure Abu Hurayrah.’
He (Abu Hurayrah) said
‘O Allah, do not return it (my soul to this life),’ then said: ‘O Abu Salamah, if you are able to die then do so.’ I said: ‘O Abu Hurayrah, we love life.’ He said: ‘By Him in Whose hand is Abu Hurayrah’s soul, the scholars will face a time wherein death is more beloved to them than gold; one of you will approach the grave of his brother and will say, ‘I wish I was in his place.’”
An explicit narration that shows this is that of Ibn `Abbaas where the Prophet of Allah, sallallaahu ‘alayhi wa sallam, supplicated:
“If You wish to test Your slaves (with regards to religion), they take my soul back to You without subjecting me to that trial.”