Young children may be beginning to understand the concept of death, but do not realise that it is permanent. They may well need repeated explanations of what has happened, before moving on to other seemingly unrelated questions or conversations very quickly.
You may find you feel anxious getting ready to tell them that the baby has died and their response is brief and then moves on to what might be for dinner, or if they can go back to playing. As their thinking is very much focussed on themselves and their world, they may need reassurance that nothing they did or said caused the death. It is also important that children of this age have a chance to understand why the baby died, as they may otherwise create fantasies and stories which may be much more frightening.
Children may also make the baby an imaginary friend. You may find this unsettling even though it is a common way for children to cope with their loss.