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Proponents of penal substitution, like Louis Berkhof (ST, 6.2.1), indeed argue that Christ has "removed the penalty of sin" and that therefore "the penal element is removed from death." So why do Christians still die? Two arguments are given:
Berkhof emphasizes the first of these two points. He argues that death is not required for perfect sanctification, noting that Enoch and Elijah didn't die. But God still typically uses death for the "spiritual advancement," the sanctification, of his people:
[The effects of death] serve to humble the proud, to mortify carnality, to check worldliness and to foster spiritual-mindedness. In the mystical union with their Lord believers are made to share the experiences of Christ. Just as He entered upon His glory by the pathway of sufferings and death, they too can enter upon their eternal reward only through sanctification.
Wayne Grudem (ST, 811) argues similarly, and explains the difference between punishment and discipline (cf. Romans 8:28):
When we do experience pain and suffering in this life, we should never think it is because God is punishing us (for our harm). Sometimes suffering is simply a result of living in a sinful, fallen world, and sometimes it is because God is disciplining us (for our good). (ST, 811)
Millard Erickson and R. C. Sproul, on the other hand, emphasize the continuing effects of the Fall as the cause of death in Christians. Erickson argues that the "temporal consequences" of sin continue, despite the eternal consequences of it being erased for believers. Now,
we must experience physical death simply because it has become one of the conditions of human existence. It is now a part of life, as much so as are birth, growth, and suffering, which also ultimately takes its origin from sin. (CT, 1179)
"This is not a denial of the fact of justification," Erickson contends, "but merely evidence that God does not reverse the course of history." R. C. Sproul uses the language of Romans 8, the groaning of Creation, to argue that some effects of sin, like physical death, will only be conquered in the last day:
The full benefits of Christβs work will not be consummated until He returns to bring the new heaven and earth (source)
Indeed, all four of the theologians quoted here look forward to the conquering of physical death when Christ returns, and they all agree that the eternal punishment that sin deserves has been nullified through the cross. But they emphasize different reasons for the continued physical death of Christians: as a means of sanctification and as a continued effect of the Fall.
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My answer...
I believe that a believer in Christ still physically dies for the same reason all believers still have a sin nature as well as the reason why Satan has not yet been cast into the lake of fire. What appears to us as Gods delays are in reality His greater blessing. He purposes all things in His time for a reason, which we at first may not understand, but which He uses for us to grow into His Way of thinking. Even though our sin nature, Adam, was crucified on the cross, a believer still has a sin nature. Even though Christ had overcome the world and defeated the devil, Satan still has rulership over it. Though the residual affects of sin in the world still reveals mans fallen state in time, the ultimate penalty of all sin has already been lawfully rendered ineffectual for believers from Gods eternal viewpoint. Jesus said to believers that even though they will physically die, yet they will live. He then asked the question, "do you believe this?" God ordained for our resurrection to occur after physical death when we are to be with Him.
The heart of the matter is that while we are in this world we are still subject to the effects of sin, even though it's root cause and effects have all been dealt with. This is why, while we're still on this side of the grave, we are encouraged to continue to exercise faith and not walk by sight. The power of sin may still be in effect, but a believer, nevertheless, has Gods provision to overcome. The devil may still continue to rule over this cosmic world system, but in reality, his time is short and we are, in the meantime, to resist him by standing on Gods word. And death, while it still appears to be the conclusive end for all of mankind by sight, actually becomes the final hope for a believer because of the historic and substantiated resurrection of the Lord, that it is assured by His promise in His Word and His presence in our lives through the Holy Spirit.
To walk by faith and not by sight is actually the greater blessing while in this world, since it does have the affect of sanctifying us, making Him more real and intimate in our lives. His assurance and encouragement of the truth in the inner man then becomes the greater reality, as we realize our dependence is not so much on what our five senses exclusively conclude, since that can in reality be a distraction to what is real, but to learn to focus on what the still small voice of God is seeking to tell us. It is in our relationship with Him that we become a testimony to the lost while in a fallen world. He wants us to grow in Him while we are still in this world, which, relatively speaking, will not be for long. Eternal life is not merely an issue of duration, but of relationship. He who has an ear, let him hear. selah