It is not wrong, but there is an important difference between the word "die-hard"/"diehard" and the phrase "die hard", the latter being used in the movie title in association with a certain English idiom. One example, "old habits die hard", speaks of long-time behaviors being hard to stop (hard to cause to die ). Similarly, the character John McClane turns out to be a pretty doughty fellow, so the people trying to kill him have a hard time doing so. Thus, if he is ever to die in the story, he shall die hard.