Is there a never die cheat for Grand Theft Auto iv?

No there isn't. There are health cheats though.

If you have the PC version of GTA IV you can get a Trainer (Mod) and that allows you to set alot of different things. Including Godmod (Never die).

With a trainer you can Spawn Vehicles/Objects/People/Bodyguards/Weapons, you can also customize your vehicles, Change the weather/time. Among many other things.