Same reason alot of us liked Nicol. These two characters shared the same fate. They were young, cheerful, and wise beyond their years. They had so much to accomplish. When you're in the military and almost died and they died, and you survived because of their interference you wish you werent so they can be. Guilt is one of the curse of being alive. Fear of how you die is the only thing in the way. Death is a natural part of life. Thats what makes life interesting and sometimes sad.

Besides those, Heine was a natural leader. He was the one that could make a difference in Athrun but died prematurely. Thats the sadest part. If it werent for what Heine said, Athrun would just be another grunt for Dulindal but without Heine, he needs to find his own way which has been and still is a long way to go. You dont just make a decision to pick up and kill your own country the next day. Its treason and its an offense that could put Kira to death but because he never consider himself sided with coordinator just because he's one so maybe he doesnt have as tough a time as Athrun, whose father had a large influence and he himself could decide to follow that same path. Heine was for me a voice of reason among a mass of distraction to Athrun. He neither enforced his opinion on Athrun like the Chairman, manipulate and use him like Ray with Shinn, nor tried to kill him like Kira, although Kira knew what he was doing and only disarmed him.

The main reason as someone stated was also that he lasted only one episode.