Like seriously, they cant kill him. He somehow survived a volcano even though hes vulnerable to injury. And if he does somehow die, he most likely gets sent to hell.
He's not mortal, so that rules out the no mortals can enter hell theory.
I suppose they could say no living bodies can enter hell, but why not say that back when lucifer had to die to enter hell, when Linda volunteered.
I always thought it was some kind of "VIP-rules"-thing. Like everybody can go to a concert, but only the VIPs can get backstage. And dying is like the VIP-status. So if Lucifer brought Cane to hell, he kind of would be stuck in the Lobby, in Limbo or something. But if he died, he could get his very own room of torture. Which is better I guess? Or Something?
Plus Lucifer can only go to hell because he is banned from heaven and Cane doesn't like the prospect of hell very much, for obvious reasons. Better to wait on earth, where they at least serve booze to kill the time.
I think it's because he is actually banned from hell and heaven... God banned him and the punishment for what he did was a life wandering the planet earth... He can suffer as a human, he can get himself hurt but not die. That's his punishment.