During the events of the one-shot Death Becomes Her he visits Lady Death on route back to Hell. She attacks him but he is invulnerable. She is angry that he took her mother and blames him. He tells her he just is, neither evil or good. She tells him that without her mothers death she'd be the same so he takes her on a vision where Marion discovers Matthias' plot to kill her and kills him instead. Following the happy conclusion of the vision he informs her she never died she went directly to hell and he can claim her sometime later, she attacks death with all her power only for him to just tell her that he will be seeing her and leaves.
He chose Lady Death as his newest avatar and carrier of the Death Scythe. And she who carries death scythe is known as Death of Four Horsemen.