According to proponents of penal substitutionary atonement, why do we still die? According to the theory of atonement known as penal substitution, the sin of a person is atoned for by the work of Jesus – he paid the penalty for the sin himself when he died, satisfying the requirement of God's wrath. 

However, it appears that people still die. According to proponents of penal substitution, why do we still die if Jesus already died in our place?
Proponents of penal substitution, like Louis Berkhof (ST, 6.2.1), indeed argue that Christ has "removed the penalty of sin" and that therefore "the penal element is removed from death."  So why do Christians still die?  Two arguments are given:


God continues to use death to sanctify his followers and increase their unity with Christ
Creation continues to suffer the effects of sin until Christ's final victory


Berkhof emphasizes the first of these two points.  He argues that death is not required for perfect sanctification, noting that Enoch and Elijah didn't die.  But God still typically uses death for the "spiritual advancement," the sanctification, of his people:


  [The effects of death] serve to humble the proud, to mortify carnality, to check worldliness and to foster spiritual-mindedness. In the mystical union with their Lord believers are made to share the experiences of Christ. Just as He entered upon His glory by the pathway of sufferings and death, they too can enter upon their eternal reward only through sanctification.


Wayne Grudem (ST, 811) argues similarly, and explains the difference between punishment and discipline (cf. Romans 8:28):


  When we do experience pain and suffering in this life, we should never think it is because God is punishing us (for our harm).  Sometimes suffering is simply a result of living in a sinful, fallen world, and sometimes it is because God is disciplining us (for our good). (ST, 811)


Millard Erickson and R. C. Sproul, on the other hand, emphasize the continuing effects of the Fall as the cause of death in Christians.  Erickson argues that the "temporal consequences" of sin continue, despite the eternal consequences of it being erased for believers.  Now,


  we must experience physical death simply because it has become one of the conditions of human existence.  It is now a part of life, as much so as are birth, growth, and suffering, which also ultimately takes its origin from sin. (CT, 1179)


"This is not a denial of the fact of justification," Erickson contends, "but merely evidence that God does not reverse the course of history."  R. C. Sproul uses the language of Romans 8, the groaning of Creation, to argue that some effects of sin, like physical death, will only be conquered in the last day:


  The full benefits of Christ’s work will not be consummated until He returns to bring the new heaven and earth (source)


Indeed, all four of the theologians quoted here look forward to the conquering of physical death when Christ returns, and they all agree that the eternal punishment that sin deserves has been nullified through the cross.  But they emphasize different reasons for the continued physical death of Christians: as a means of sanctification and as a continued effect of the Fall.