IMO: Death makes us sad because something that brought joy to our lives is gone. A family member, or a friend is someone who you directly communicate with, so no one really things it's strange to feel sadness at that loss.

When a person is sad over a celebrity dying, people more have a tendency to be of the mind, "Why do you care, it's not like you knew them?" but again, that joy is gone from your life. That thing that made you happy, you realize that you won't get to experience that happiness in the same way ever again.

I feel no shame in being sad when a celebrity who acted, or sang, or did things that made me feel strong emotions is gone. I may not have known the person directly, but through their work, they had an impact on my life. And I think it's OK to be sad, to mourn a celebrities passing. Yes, they're one of many people who die on any given day. I can feel empathy for others deaths, but, ultimately, if I didn't know the person, I can't feel that same level of sadness.