The fate of Dwarves after death is given in the chapter titled Concerning the Dwarves in History of Middle-earth 11:
For they say that Aule cares for them and gathers them in Mandos in halls set apart for them, and there they wait, not in idleness but in the practice of crafts and the learning of yet deeper lore. And Aule, they say, declared to their Fathers of old that Iluvatar had accepted from him the work of his desire, and that Iluvatar will hallow them and give them a place among the Children in the End. Then their part shall be to serve Aule and to aid him in the re-making of Arda after the Last Battle.
Now, "mortal" and "immortal" have very specific meanings in Tolkien:
- "Mortal" means that your spirit is not bound to the world after death, but instead leaves it, going to nobody knows where. A mortal spirit will also continue to exist beyond the end of the world.
- "Immortal" means that your spirit is bound to the world and cannot leave it; if your body is destroyed your spirit may go to the Halls of Mandos from where it may be subsequently released into a new body. The fate of an immortal spirit beyond the end of the world is unknown.
It should be clear that Dwarves fit neither of these definitions:
- Their spirits don't leave the world, but yet,
- They are not released from the Halls of Mandos (with one exception: the Seven Fathers).
- And the fate of their spirits after the end of the world is known.
So it's more accurate to say that Dwarves were created neither mortal nor immortal.
The clearest reason for this is given in the Silmarillion chapter Of Aule and Yavanna:
And Aulë made the Dwarves even as they still are, because the forms of the Children who were to come were unclear to his mind...
In other words, Aule very probably just didn't know any better, although the possibility that Dwarvish fate was an explicit intervention by Iluvatar remains open.