Well, Nietzsche is using metaphor to get his point across. You can't kill something that never existed. I think he meant humanity has seen through it's own delusions and only then realized that such delusions were essential to life. And now that we know the truth we can't go back to being deluded. This newly founded truth is the source of modern day angst or distress.
There are those who desperately rally against this new found knowledge and use psychological techniques like denial and force themselves to believe in something greater, but such people in modern times simply appear foolish.
anti depressant consumption is exploding in the so called civilized, atheist world. People cant heal themselves anymore with spirtuality, family, individuals are lonely , atomized, they suffer so they need pills to feel happy. God is now in a pill. Shrinks are the new pastors and monks. Religions were natural anti depressants. Science , rationalism, destroyed this natural anti depressant and substituted it with another.
We probably are nearing the end of mankind, which is now dying of old age and becoming more and more childish and dumb, like a devolution.