Unlike all other areas in Spelunky, the levels of the Ice Caves have no solid ground beneath the bottom edge of the map.
Falling off the lowest platform of a level will send you plummeting into the endless Abyss, never to be seen again.
Mechanics
Dropping below a certain point on the map will briefly display an off-screen icon indicating your position. It is sometimes possible to recover from a fall by flying back up to solid ground using a jetpack, but the Spelunker will be considered dead after passing a specific point-of-no-return.
Although this counts as a death for the purposes of gameplay, the caption attached to the post-mortem snapshot on the final score screen notably suggests that the Spelunker has yet to fatally hit the bottom of the chasm, assuming it has one at all.
The Ankh will resurrect a Spelunker that falls into the abyss just as if they had died by other means. This is useful for deliberately committing suicide in order to utilise the Ankh's power to revive a player inside the Moai to acquire the Hedjet.
Dangling the Ball and Chain into the Abyss (for instance, by using a Rope or Climbing Gloves) will cause it to detach, leaving you free of its effects for the remainder of the current level.
Bugs
If the Spelunker is frozen while falling in the Abyss the game crashes. This, however, does not happen in the latest Steam version