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HaHa. About that. [spoiler] In the comics, Steve does die and Bucky (Who is The Winter Soldier becomes the new Captain America. [/spoiler]Correction: Thanks for just spoiling that there's some chance he will die.
There is some chance essentially every character will die. Actors lie all the time about their movies. Look at Marion Cotillard in TDKR for example. She said she wasn't Talia, and who did she end up being? Talia.
We wouldn't have any more cap america movies if the captain would die.