If man’s existence in olam haba is man’s goal, shouldn’t he wish to die? If you say that olam hatze is a preparation for olam haba, and that dying would prevent him from preparing himself, then shouldn’t that produce death anxiety? Because what tzadik can consider himself to be prepared?
The Midrash Tanchuma (Naso 16) explains that when G-d created the world, He longed for a place to abide, in Chassidic philosophy we call this דירה בתחתונים:
R. Samuel bar Nahman said, “When the Holy One, blessed be He, created the world, He longed to have an abode below just as He had on high
It is our job to make this world a dwelling place for G-d. In a similair vein, the Mesilat Yesharim states:
The matter of holiness is dual. Its beginning is service [of G-d] while its end is reward; its beginning is exertion while its end is a [divine] gift. That is, its beginning is that which a man sanctifies himself, while its end is his being sanctified. This is what our sages, of blessed memory, said: "if a man sanctifies himself a little, he becomes much sanctified. If he sanctifies himself below, he becomes sanctified from above" (Yomah 39a).
Similary, the Mesilat Yesharim explains that by doing mitzvot, which G-d commanded us, it serves as a sort of corridor to the world-to-come:
The means that lead a person to this goal are the commandments which the blessed G-d commanded to us. The place of the performance of these commandments is only in this world. Therefore, man was first placed in this world so that through these means prepared for him here, he will be able to reach the place prepared for him, namely, the World to Come, there to be sated with the good which he acquired through these means. This is what our sages of blessed memory said "today to do them, and tomorrow to receive their reward" (Eruvin 22:1).
We should fulfill G-ds mitzvot out of love, not because we know that by doing them, we get a reward. As the Rebbe writes (Hayom Yom, Kislev 18):
The Tzemach Tzedek writes: The love expressed in "Beside You I wish for nothing,"1 means that one should desire nothing other than G‑d, not even "Heaven" or "earth" i.e. Higher Gan Eden and Lower Gan Eden, for these were created with a mere yud
And the famous expression:
I want nothing at all! I don't want Your gan eden, I don't want Your olam haba... I want nothing but You alone.
So, we come to your question:
If man’s existence in olam haba is man’s goal, shouldn’t he wish to die?
I personally do not think that's why we are here in this world, as mentioned above. We need to make this a dwelling place for the shechina. As the Mesilat Yesharim writes "It's beginning is service of G-d". Then..... the end is reward, they are both connected through each other.
As brought by Joel K in the comments, Avot 4:17 states:
He used to say: more precious is one hour in repentance and good deeds in this world, than all the life of the world to come; And more precious is one hour of the tranquility of the world to come, than all the life of this world.
On this Mishnah, the Ikar Tosafos Yom Tov explains something interesting:
"The world to come": The beginning is not a [contradiction] to the end, as this world is for action and the world to come is for payment and enjoyment
This world is for "action"- for doing mitzvot, the world-to-come is for the reward of the actions we did in this world. This can also be found in the commentary of the Bartenura on this very same Mishnah:
"than all the time in the world to come": Because at that time, repentance and good deeds do not benefit a person, as the world to come is only for the receiving of reward for that which he observed in this world. (emphasis mine)