If something is truly immortal, it probably can't death curse. Or, there would have to be a lot of research invested in figuring out how to end ones own immortality and then try to apply it to a death curse. (but if they could it would be one hell of a potent curse, I'd think)
In many instances Immortality is a curse, not a blessing and it might not be that easy to end. (on top of the complexity of executing a Death Curse in the first place).
In the event that immortality is a blessing, I'm not sure a being would have the wherewithal to learn how to perform a death curse. They don't really intend to die, so why learn how to curse someone in the event that you might be killed.
In any case, I think Death Curses require research/knowledge to know how to execute. Not anyone can perform them - what I mean by that is performing a death curse does not come naturally.
Also, you need the presence of mind and commitment to do one in the heat of the moment.
But this is just opinion. I can't point out a specific place to reinforce this - other than what people have already discussed.
Hehe, so I have a theory about the Dresden Files, and specifically Odin's Deathcurse:
I think he very specifically intends to release a deathcurse when he Dies, an event he knows specifically is coming with Ragnarok, one he cannot avoid but can certainly make use of. I think he needed a uniquely Powerful instrument to be able to accomplish Killing a god, in order to release it. SO he had one of his Saint buddies (Vadderung is also a catholic Saint, St. Nicolas, per WOJ) to curse a bloodline into becoming a magic resistant Killing Machine. This killing machine would only have one weakness which requires a special time of familial bond that doesnt exists among The Enemy (Outsiders). This killing machine could not be made whole from scratch, it needed to be cultivated and grown to develop enough Power. So it was attached to a bloodline, cursed to ensure that it would survive until the foretold moment, and designed so that a dozen times each year it would spend time absorbing Power in the oldest and most primal way possible, but hunting and devouring it. This appears to be the same way Blampires gain power, also the Erlking. Eventually the time will be right and the latest of MacFinn's line will Wolf out and Kill Odin, which will let him release the most powerful Deathcurse the world has seen in just over 2000 years. 8)