They are asking you if you are okay, because they have no idea how close of a relationship you had with your cousin or how you handle death.
Maybe you are some mentally ill person who cannot cope with death and it sends them into a crazy spiral of drug abuse and crime.
My Cousin died, who was the same age as me, while she was giving birth.
I felt strange about it, but overall I felt much more appreciative of my own life. It was a positive influence on my life, although it was a very tragic event for others.
Now my brother committed suicide, and I didn't remember too much from my childhood, but I still think of the guy. I've envisioned in my mind what he did, and what others went through and it's insane how things can go in life. People move on however.
Now when someone really close to me has a near death experience, well that is insanely difficult enough. When they die it will be insane.
So you aren't that close to your cousin. No worries.