Most Helpful Guy
Sure, various celebrities absolutely. Some celebrities are so because of what they have done, not any music or TV or movies.
For instance, I know I would cry upon learning President Obama's death. However, he will likely outlive me, but, being very close in age and worldview, he's like my brother. Sometimes I tear-up that he's not still our President given our current alternative.
Sometimes, the celebrity is a celebrity of misfortune such as Alfie Evans in the UK; it's criminal what they did there.
Most Helpful Girl
No, I don't think it is weird.
You don't have to have known someone personally to feel a connection to them. If you were a fan of this person then they may have created some of your favorite songs, movies, TV shows, etc. People relate to these things, it makes them happy, it helps them through hard times.
Not to mention they're not just a celebrity, they were a person. Anytime somebody dies, it's sad.