Dying is the most profound event in a person's life. It is a mysterious curiosity that all of us will experience at some point, yet it is considered rude to inquire about the details of someone's death. Certainly, the death of a loved one is a sensitive subject because of the feelings of the survivor, but the passing in and of itself is not a taboo subject; how they died is.
A person's death provides a glimpse into how they lived, and for many (most?) of us, it is a direct result of how they lived. Lung cancer? The person died because he smoked much of his life. Stroke? He died because he's a fat ass. Cirrhosis of the liver? He did like his booze, didn't he? Heart attack in a hotel room with a hooker? Well . . . uh, maybe we should change the subject.
Knowing how a person died may indeed give us a more intimate picture of how that person lived and who they were. We won't have the opportunity to speak to that person because he or she is dead, so what's wrong with getting to know them a little better in death?
Off-topic aside: Note the first suggested topic listed when one googles "Is it rude to . . ."