Because Cedric Diggory is actually the first character to die during the Harry Potter adventure.
Before Cedric Diggory the only characters who died in the Harry Potter stories were unknown people who died before the events of the book/film, before Cedric Diggory we were used to luck or the skill of the golden trio preventing any positive character from die, but it wasn't like that with Cedric Diggory, he is dead and neither Harry, Ron or Hermione will be able to prevent this event.
Furthermore, the death of Cedric Diggory is the first event that the protagonists cannot even resolve in the future, certainly at the end of Azkaban prison, Sirius Black is still wanted for crimes he did not commit, but the reader could hope that the protagonists in somehow they can solve the problem, but with Diggory this is not the case, since as we learned from the first film/book, magic does not resurrect the dead.
Why is the killing of Cedric Diggory in the Harry Potter story such a big deal?