During the six years of the observational arm of MRFIT, investigators kept track of deaths in the patients they had screened. They compared the occurrence of deaths from multiple causes to the blood cholesterol values they had measured at the beginning of the study. Here's a graph of the results (source):
Click on the graph for a larger image. Coronary heart disease does indeed rise with increasing total cholesterol in American men of this age group. But total mortality is nearly as high at low cholesterol levels as at high cholesterol levels. What accounts for the increase in mortality at low cholesterol levels, if not coronary heart disease? Stroke is part of the explanation. It was twice as prevalent in the lowest-cholesterol group as it was in other participants. But that hardly explains the large increase in mortality.
Possible explanations from other studies include higher cancer rates and higher rates of accidents and suicide. But the study didn't provide those statistics so I'm only guessing.
The MRFIT study cannot be replicated, because it was conducted at a time when fewer people were taking cholesterol-lowering drugs. In 2009, a 50-year old whose doctor discovers he has high cholesterol will likely be prescribed a statin, after which he will probably no longer have high cholesterol. This will confound studies examining the association between blood cholesterol and disease outcomes.
Thanks to The Great Cholesterol Con by Anthony Colpo for the MRFIT reference.