Do they grieve as in feeling like we do when we grieve? No. Since they have no sense of "self identity" they do not grieve. Since no one who writes about pets is a pet they can only guess at what an animal senses when another person or animal leaves their life. When we assign human characteristics to animals we are only imprinting our own feelings on them.
That does not mean their small brain doesn't sense a loss, but since they can't express it to us verbally in our language then we merely guess at what they "feel". It is still sad to us.
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