Matter appears to have a latent potential for consciousness, which when a requisite type and degree of integration exists, is actualized to varying degrees. Therefore, when our requisite type and degree of integration no longer exists (death), we lose our connection to our bodies, which holds our innate selves, our memories and our ability to think.
Maybe what distinguishes you as yourself carries on after death, but to understand our state without a body, we can imagine our state before we were born, which is either unanalogous to life, or timeless idleness.
My point is that while reincarnation, for which we have no evidence, might be possible, who you are dies with your body.
Also, unless you are or were in a cult like environment, I don't think the partial hope of being reborn female is causing you to feel suicidal. The root cause of feeling suicidal is a belief that we're unworthy of love. Maybe you don't feel attractive, or your loved ones aren't accepting, etc... If you'd like to talk about it, maybe we can recommend actions that will help you feel more loved.