Many people are confused about the what happens after death, and due to their love and attachment for a relative or friend who has passed away, often simply assume they are in a better place, that is to say, Heaven.  We simply do not know this, and it is the constant teaching of the Church, and unceasing witness of the saints, that we must continue to pray for those who have died.  In order to live in Heaven, one must not only have died in a state of grace, but must also have no attachment to sin, and must also have repaired, or restored what was lost through their sin.  This is what Our Lord meant by 'be perfect.'  God is pure love, goodness, truth, and beauty.  No person can live in His presence in Heaven without being totally purified.  This is why Servant of God Fulton J. Sheen said that 'Hell is pain without love, Purgatory is pain with love, and Heaven is love without pain.'  The souls who have died, who are still in need of some purification willingly, lovingly embrace this final purification, knowing full well that it will be incredibly painful - more painful than anything they have ever experienced.  They do so because they know God, and long to be in His presence forever, and so it is worth it to them.