If you die from another entity melee-attacking you, you lose ALL your items.

However, if you are killed by projectiles, fire, explosions, drowning, falling, the void, or /kill, you will keep all your equipped armor.

Steps to reproduce:

1. Equip some armor.
2. Kill yourself via any of the methods listed above.
3. When you respawn, notice that you are still wearing the armor you equipped.