Several months after my father died, I ran into someone we'd known for nearly 40 years, who asked how my parents were. Somehow, he hadn't heard that my father had died (which was actually rather surprising, because it was a pretty big deal in our community; his funeral was absolutely packed). I'm sure he felt terrible about it, but honestly, I felt terrible for him, and not at all for myself. I mean, it's not like I'd forgotten he had died, and frankly, it's nice to know that people continue to remember him fondly – and while I know that, if I'd been in his shoes, I'd have been absolutely mortified, I really didn’t want him to feel bad. I'm sure it's the same for OP's co-worker.

Oh man, my mom's cousin Charlie once asked her how her son/my brother was doing over dinner (the person in question had died dramatically, and traumatically for everyone involved, about 10ish years prior, while Charlie was still in China). After we made sure he was genuinely asking about my brother, my dad piped up with "oh... You know... Still dead". Charlie just about had a heart attack.