I Don't know the exact answer, but hey! I will guess.
1) They may not have sufficient energy stores. Perhaps they only eat as nymphs, and not as adults, thereby using up all energy during mating and dying shortly after (evolutionary population control?)
2) They're not "built" to last, in that, perhaps their adult bodies are not efficient/easily damaged and they die soon after mating, living long enough to forever perpetuate the short-lived species.
3) Similar to #2, their adult bodies could be very susceptible to some environmental (natural, not man-made) element. Eg. it is thought that one of the reasons flies die so quickly is that they can see broad spectrums of light and that may damage them.