Continuity mistake: After Creasy cuts off the first finger of the first man he kills, he is using the car cigarette lighter to stop the bleeding. When the shot changes to show him using the lighter, the man's finger is seen bent around the top of the steering wheel.

Man on Fire (2004)
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Directed by: Tony Scott
Starring: Denzel Washington, Christopher Walken, Mickey Rourke, Dakota Fanning, Radha Mitchell, Marc Anthony
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Trivia: In the original ending Creasy is taken to "The Voice" for search and interrogation. After some interesting dialogue, a watch among Creasy's personal effects begins to beep and there is a huge explosion. Sharp eyed viewers will remember this ending was set up during the suppository bomb scene under the bridge where Creasy showed an unused charger, pager, watch, and detonator to the victim. The producers thought that this alternate ending screened as too improbable and closed the plot too neatly.
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Answer: Creasy was a contract assassin for the CIA. His downfall was his drinking because it affected his reaction time and so forth. He had a lot of bad memories he was trying to live with. He considered this bodyguard assignment to be a blow off assignment. This and his bad memories combined with his drinking problem, made him severely depressed. This is why he considered killing himself. At the end of the movie, you see Creasy being taken away in a car. His gunshot wound from the "Voice's" brother, along with his prior gunshot wounds that were never properly treated, had finally gotten the best of him. He was bleeding the whole last half of the movie because he never fully recovered from the gunshot wounds. So, to answer the question of why he died, he bled to death.