My informant first heard this superstition from his mother when he was fourteen years old. His father had passed away when he was thirteen, so in Korean tradition, the sons must prepare a shrine for the deceased father on the day the father died to commemorate his death. It is a time of reflection and a time to remember the loved one who has passed away. When he was preparing the meticulous shrine for his father with the help of his sisters and mother, his mother explained to him that the shrine must be set up towards the north side. When he asked why, she answered that north is always the way of death. She also added not to sleep facing the direction of north because that is like facing death.
There is some logic to people believing that north would be the direction of death. Since it is a general belief that there is some kind of an after-life in most religions, people believe in spirits. Usually after death, the spirits leave the heavy bodies and elevate to a higher plane. That is why I believe people perceive north as the direction of death.