The desire to merge into nothingness is a reaction against material pain.
Sometimes a living being is able to understand the miserable result of materialistic sense gratification. Being frustrated by the pain and suffering of materialistic life and being ignorant of any superior life, he adopts a neo-Buddhist philosophy and seeks shelter in so-called nothingness. But there is no actual void within the kingdom of God. The desire to merge into nothingness is a reaction against material pain; it is not a tangible concept of the Supreme. For example, if I feel unbearable pain in my leg and the pain cannot be cured, I may finally agree to have my leg amputated. But it is far better to remove the pain and keep my leg. Similarly, because of false ego we think, “I am everything. I am the most important person. No one is as intelligent as me.” Thinking in this way, we suffer constantly and experience intense anxiety. But as soon as we purify the ego by admitting that we are insignificant eternal servants of Kṛṣṇa, our ego will give us great pleasure.
Source: A.C. Bhaktivedanta Swami Prabhupada (2014 edition), “Srimad Bhagavatam”, Eleventh Canto, Chapter 02 – Text 02.