Absolutely.  If a character takes enough damage and/or does something sufficiently foolish, they can die.  Once your character is dead you will leave that campaign.

You can of course elect to start a new game, and even decide to play the same character again, but any progress with the character (eg skill development, additional equipment) from the campaign where you died will be lost.  If you were playing with a group of other players, their game will continue without you.