Last Epoch is an exhilarating Action RPG that comes with softcore and hardcore character modes. As a rule of thumb for this game genre, you will be downgraded to softcore mode on facing death in the Hardcore mode. Further, the game does have other death penalties depending on the mode you are playing.
Last Epoch Death Penalty
While there is no death penalty in Last Epoch’s story mode, you will definitely face the consequences of dying in modes with Endgame systems.
So basically, dying in Arena, Monolith of Fate, and Dungeons will make you lose rewards such as Echo. This in turn can also interfere with the continuity of your timeline. You would also not be able to access the End-Game Maps after dying, which will heavily affect your end-game farming.
Apart from all the losses, you will retain game progression and character growth. As for your XP Points and Gold, do not worry; they will remain intact as well. My suggestion to you would be to try and stay alive in Monolith Quests in particular as they are hard to come by again.
Note that you may sometimes face errors while loading up the game or certain quests. If you do, we have covered a guide on how to fix loading screen stuck in Last Epoch.