Yeah, it's illegal. Know why? Economic reasons. Governments can't have their slaves out themselves if they have one cent to contribute; and if you don't have one cent to contribute, they want you to die in misery of starvation and the cold for it. Can't have their chattel showing any signs of personal sovereignty, either.
Now personally, you chose to be alive for a reason. Did you accomplish what you were set out to do? If you didn't, you will NOT be happy on the Otherside, if you even succeed in getting there. A lot of times those not yet ready to die, don't. They may screw themselves up pretty bad, but they may not be let go (Or rather, they don't let THEMSELVES go.), until they are finished with what they came here for.
Some choose to die by suicide before they are born. It is their (pre-)destiny. And did we really want Cleopatra and Boadica to face the wrath of Rome as opposed to checking out on their own terms?
As far as I'm concerned, Rome and all her vile offshoots can rot in a cesspool for eternity.