The unfortunate truth about human beings is that they mourn most for people who die when they feel some sort of identification or connection with that person. It happens with celebrities when a person has particularly followed that celebrity's work, because on some artistic level the fan may feel a personal emotional response to the film, book, music, etc. Even though most individuals aren't actually "personally connected" to famous people, the symbolic identification can still be present.
Besides, if everyone sat around and cried over all the people who die in the world everyday, we'd all hang ourselves...or at the very least, life wouldn't go on. Grieving for people whom you feel either a personal connection or identification with is a defense mechanism against being emotionally overwhelmed by the death surrounding us every day.
You can also look it as healthy that people express grief, symbolically, through celebrities because grief has to be acknowledged somewhere - even if subconsciously underneath it all it's actually about something else.