Rorschach had a line in the book that summed up both him and every other anti-hero in existence. Incidentally (or not), it summed up the same point that was the driving force behind Dark Knight Returns (which is, essentially, Frank Miller's version of Watchmen anyway).
"Understood man's capacity for horrors and never quit. Saw the world's black underbelly and never surrendered. Once a man has seen, he can never turn his back on it. Never pretend it doesn't exist. No matter who orders him to look the other way. We do not do this thing because it is permitted. We do it because we have to. We do it because we are compelled."
Compulsion to put yourself in the midst of danger isn't necessarily conducive to seeking out your own death. It just means your drawn to a hazardous line of work. Admittedly, Rorschach left little room for self-maintenance, but that probably had more to do with his crime-fighting objectives than it did with assuring his own eventual demise.
