I think it makes sense. You both die, then the deathrattle triggers. Deathrattle effect is considered 'after' not 'whenever'. Lifesteal weapon atack is different, you take dmg and heal at the same time. It is displayed in 2 steps, but it occurs in the same time.
Your hero dying to the spell resolved before the deathrattle did. A long time ago Blizzard patched the game so that once a hero's death has been resolved, healing will not save them. The deathrattle was then resolved, healing your minions but not your hero, because your hero was dead.
damage effects trigger first, then (usually) the deathrattle. but it is inconsistent in very weird ways. on some cards it works on others it doesn't
for example: you can come back to life when you attack with a lifesteal weapon into a minion that would normally take you to minus health, it's just really odd.
If you know another similar deathrattle effect that works differently do tell. The lifesteal thing isn't an inconsistency, this mechanic just resolves differently to the way a deathrattle does. A lifesteal weapon heals you WHEN you take damage. A deathrattle minion dying at the same time as your hero heals you AFTER you've both already died.