Middle Earth "afterlife"

[Legolas]

Actually they can. Take Luthien for example!

Er...the only example?

Luthien did not "give up" her immortality. She died. She was permitted to come back, and given a choice between immortality and mortality because of her great deeds. Not because she was an elf.

Elros and Arwen are half-elves. Half-elves are mortal by default - Manwe had previously made a decree that any being with any mortal blood was mortal. Elrond and Elros were granted a special choice because of, once again, the great deads of their parents, Earendil and Elwin.

Arwen, Elladan, and Elrohir were given the choice again because Elrond (half-elf) wed Celebrian (an elf), thereby renewing their 'elvish' strain. After their generation, their family's choice would be finished.

Special choices were granted to these, and these alone.

It is easy to be fooled though, given the way the movie potrays the situation and the way Lord of the Rings never really spells out the issue.