An awareness of one’s mortality is not something that most animals seem to share with the human race. It requires a sense of something more than just the basic instincts required to keep one alive. Fear of death may be present, but it is an issue of the moment and rarely translates to actual awareness that death will come at some time in the future.
When one of a group is lost to a predator, the rest generally move on, obeying the law of the jungle that dictates that the strongest shall survive. There are some known exceptions to this generality, such as some monkeys and elephants. As it turns out, dolphins also happen to be on this short-list.