Zagreus had died three times, and Thanatos knotted back his thread three times. At the end of the mission, there wouldn't have been enough to tie together for a fourth time.

"Yes, I sense death. This world has been seeped in it, more than mine, which... I hadn't thought possible given how bad things are. I can also tell who has died before and if their soul is located somewhere else instead of within their body like normal." There are at least four different people who have their soul outside of their body. Only one of them had said so before he realized it.