El Macho had a tendency to do impossible and dangerous task. The jump into the volcano was just one of his feats to prove that strength.
According to legend, he didn't survive that jump. However, it is also possible that he knew that he wouldn't survive it.
He did this jump, maybe in real or not, to fake his death, so he can run some covert operations without world's police running after him.
In the end, when Gru finds his secret lab, they have following conversation.
Nobody believed me! Ho ho! But I
knew you weren't dead!
DESPICABLE ME 2 CINCO & KEN DRAFT 82.
Of course not. I merely faked my
death, ha, ha!
But now it's time for me to make a
spectacular return to evil!
In this conversation, we can see El Macho confessing about his fake death. He wanted to rule the world by unleashing those purple-colored minions.
EL MACHO (CONT'D)
Soon I will unleash them on the
world--and if anyone, anyone,
tries to stop them...YEOW! Their
city gets eaten!
We can do it together!
Together! I have admired your work
for years, amigo. Stealing the
moon?! Are you kidding?! We would
be unstoppable! Men like you, men
like me, we should be ruling the