HRT is short for Hormone Replacement Therapy, a treatment many transgender people use to feel more aligned with their gender identity. It’s been proven to increase mental health, and has a low regret rate. However, it is correlated with higher mortality because trans people overall have a higher mortality rate and HRT is primarily used by trans people.
A more extreme example of the same thing would be “People on chemotherapy have a higher chance of dying from cancer than people not on chemotherapy.” It’s true, but only because people without cancer don’t tend to enter chemotherapy.