Dan Sperber in Cognition and Culture invites social and cultural anthropologists to examine the issue:
The National Geographic Magazine reports: “On September 23, 2008, Dorothy, a female chimpanzee in her late 40s, died of congestive heart failure. A maternal and beloved figure, Dorothy had spent eight years at Cameroon's Sanaga-Yong Chimpanzee Rescue Center, which houses and rehabilitates chimps victimized by habitat loss and the illegal African bushmeat trade…. Szczupider, who had been a volunteer at the center, told me: 'Her presence, and loss, was palpable, and resonated throughout the group. The management at Sanaga-Yong opted to let Dorothy's chimpanzee family witness her burial, so that perhaps they would understand, in their own capacity, that Dorothy would not return. Some chimps displayed aggression while others barked in frustration. But perhaps the most stunning reaction was a recurring, almost tangible silence. If one knows chimpanzees, then one knows that [they] are not [usually] silent creatures.' “
There are other examples of what looks like animal grieving behaviour, the case of elephants being the best known (here is a relevant video). Marc Bekoff, in an article forthcoming in Emotion, Space and Society, reports observing grieving magpies (magpies are Corvids, a very intelligent family of birds): “One magpie had obviously been hit by a car and was lying dead on the side of the road. The four other magpies were standing around him. One approached the corpse, gently pecked at it, just as an elephant would nose the carcass of another elephant, and stepped back. Another magpie did the same thing. Next, one of the magpies flew off, brought back some grass, and laid it by the corpse. Another magpie did the same. Then, all four magpies stood vigil for a few seconds and one by one flew off.”
These behaviours beg for an explanation.