I don’t think he wanted to die. People like Alexei have a strong moral character. When they know their cause is good and right they will refuse to back down every time. That sense of righteous gives them strength to stand up to even the most horrible dictators. While short sighted in terms of self preservation many would rather die on the side of righteousness than live in a world that is inherently flawed. He died with his dreams in tact which many of us will never have. I don’t think he wanted to be a martyr he just never saw any other choice.