Legacy code, generally. Boomerang effects like Ekko's Q used to not return on user death, but were specifically fixed into doing so.
The overall rule set tends to follow:
- Abilities that complete their casting time exist independently of the caster.
- (Channeled) Abilities (that) require an active component with the caster, can be interrupted or are stopped by the caster's death.
This tends to be fairly consistent in new champion design, but not so much the older ones. Draven's R not returning after this death, for example, is a weird in-between a normal ability and a channel effect. If his R is returning to him already when he dies, it completes, but fizzles when it's going out and tries to return.
Talon's W used to not return on death, as another interesting point. It was later fixed to do so (along with Ahri, Sivir, etcetra), as it was deemed to be a correct design choice #1 above.
There's a variety of skill shots that can fizzle upon user death, even though they shouldn't--not for any particular balance reason, but they haven't had code adjustments not to. I've been in favor of a general 'rule set' pass for a while now, as it'd help to bring all abilities in line to a common ground.