[Harald B]

The fact that adventures don't have mechanics like extra lives or hit points (with the Phoenix Wright series being an interesting exception) makes dying more problematic. Imagine a platform game featuring a moment that would make you lose all your extra lives and continues at once. That would feel pretty unfair, no?
It's not too bad if it fits the mood, there's a decent undo, and there are chapters (KGB). It's workable if you know death is around every corner and you should save before any remotely dangerous action (Eternam). But it's downright awful if it strikes when you least expect it and forces you to redo large amounts of the game, or if you can work yourself into a dead end and not know it until much later (Hitchhikers guide to the galaxy).
Mood factors into it. Light-hearted exploration games where you should try everything, especially silly stuff, are better off without deaths in them. Deaths are more suited to a serious feel where you have to think things through carefully before making your move. An extra lives/hit points system might aim for a middle ground, but that would be a very tricky proposition.