Capcom isnt going to outright SAY he died. because theyre just not like that. I mean, they never Willl tell us what happened to the crew of Megaman classic between it and X, what makes you think theyl tell what happened for sure about Zero?
he's dead. deal with it. ZX outright proves it.
besides, to quote Zan from many other discussions on Zero surviving Z4,
"way to ruin Zero's epic finale."
that was the most epic moment and the climax of the story. Zero's finest hour, the conclusion. the end. Zero survived to stop the threat from a hundred years ago, Dr Weil. a battle of the past. Zero defeated Weil and Ragnarok fell apart. he then died upon atmospheric reentry, which storywise, is right as he defeats Weil. I mean, not even Zero can survive reentering the atmosphere. and even then, hitting the ground at terminal velocity like that would be able to kill Sigma himself like 5 times over.
its logic, and story logic. the moment that final battle starts, you know Zero will die. it has to happen for the story to come full circle, otherwise, the meaning of the whole final fight would be lost.