"There are worse things than death, I'm afraid." And the Time War was full of them. Yes, it was possible for things to leave the time lock which had sealed it all away, but the price was high and he wasn't sure the Master had anyone who could pay it for him. Davros had escaped at the cost of Dalek Cann's mind, and the Time Lords had needed a link.

While he couldn't (didn't want to) dismiss the chance that the Master would somehow escape, the Doctor also knew what the chances of it actually happening were. If the Master died in the War and stayed dead, it would probably be a blessing in disguise considering what waited for him there.