I didn't really understand that, either. Although, I thought he killed himself at first, so I was fooled at least. Then again, Tyler didn't need to believe it was suicide, only Ed Norton (can't remember the character name) because it was all in his mind, anyway. If he believed that doing that would kill Tyler, then Tyler would die. My $.02.
It was a really good movie, surprisingly so (judging from the commercials, I thought it was gonna suck).