Nick wasn't naive enough to think this was just some affectionate sentiment on the kid's part. If he said Nick wasn't supposed to die then he was saying a lot more than that; he was giving Fury a glimpse of his future. Probably didn't mean he wasn't going to live forever (wouldn't that be fucking nice) but maybe that he wasn't supposed to die anytime soon. Fury didn't actually know whether or not to take that as a good sign. 'Not here, not like this' didn't mean much if the future was a bleak one. Just meant he wasn't going to get taken out by a horde of zombies, which didn't say anything about say, an IED or a bullet.