"The Subject Is Closed" by Larry Niven

First appeared in Cosmos.  Reprinted twice by Jack M. Dann, Gardner R. Dozois, and by Darrell Schweitzer, George H. Scithers.  From The Draco Tavern collection.

Aliens approached by Christian for tentative conversion, but these aliens avoid the subject because when explored many committed suicide.  Story provides one possible explanation--too easy to get in to heaven--but others may exist (Lovecraft's answer might be different--more dire).  Interesting little religious/philosophical piece.