According to the Norse Mythology in Ragnarok (the end of the world) Thor is Killed in combat by Jormungander, the most powerfull monster of all which was a giant serpent that layed dormant until the final battle. Thor manage to kill the monster after a titanic battle, but, the last poisonous breath of the beast ends the life of Thor. Maybe in the Marvel Universe something similar will (has?) happen to Thor
He already died in Ragnarok, but came back.