He dos, cause he has to chose between the death of his girlfriend and bsically ruining alot of people's lives. the thing is, the rabbit said, the world will end in 28days, so even if he does die, wont the world still end and everything rewind?
The very fact of not understanding the ending is an understanding also. I think even if people don't get a definitive "this is what happened in donnie darko", they still enjoy how it makes you feel, and the not understanding adds to this.
I've seen it several times now and certain things get taken for granted, but trying to explain it to other people is complicated simply because it's meant, in my opinion, to be decided upon yourself.
Donnie new the world was going to end. So he chose to sacrifice himself so he could save his girlfriend, and his family. Death was a release for him, which is why he is happy and laughing lying in bed at the end waiting to die.