It's because people value things that are in short supply..so when artists pass away, no more new work will be available, making their current work more valuable.
Supply and demand.

That is something, as an artist, that has always made me intensely angry. I’m sure it would be awesome for all other fields to know their work was more important to the world only after they are dead. Not that my work will ever make anyone rich after my death. I think of artists like Van Gogh. He is thought to have only sold one painting in his lifetime. He had such a great struggles only to make people disgustingly wealthy, long after after his death. The Dr. Who episode, where the doctor shows Van Gogh that he was really appreciated, makes me cry every time I see it.