Some Heathens do, especially those of the Norse tradition. Heathen cosmology includes the concept of multiple worlds, the number of which differs between traditions. Some of these worlds, such as Hel (the place, not the goddess) and Valhalla, are places where humans might go after death. Norse Heathens generally agree that most people go to Hel when they die, whereas soldiers who die on foreign soil and cannot be returned home go to Fólkvangr or Valhalla instead. Some individuals hope to go to the halls of their gods, such as Thor’s Bilskírnir or Frigg’s Fensalir.
Other Heathens believe that the only afterlife is in the burial mound, which is where they hope to rest after death, with their ancestors, for eternity.