When it comes to securing life insurance, your risk level is very important to the insurance company. Typically, the higher risk you present to the insurance company, the more you'll usually need to pay in premiums.
For many insurance companies, it's important that there is a degree of certainty that you're able to pay your monthly premium for the long term and without a lapse. If you're unemployed, that often has an impact on your financial situation, which can make you seem riskier compared to someone who has a job in the eyes of an insurer.