This belief mystifies me, to be honest. I usually have the departing player's character move away, or take on a quest or job that occupies them for the rest of the game (e.g., "I must help my family defend their kindom!"), but I've almost never seen a character get killed off just because a player left the game.
Does anyone know where this belief comes from? Admittedly, I got into gaming later than some, so I may be missing something. I've heard stories about it happening in a fit of pique, but again, I've almost never seen it happen in real life.