I'm a Christian and I've never really got that.
I won't get into my own beliefs, but when I was an atheist, I was pretty sure that you just... died. No floating around in space, you just die. Nice and simple.
I guess now I'd believe people that don't believe in the afterlife would do the same. I don't believe in "hell" or whatever. I guess they'd just die. Not really thought of it.