I'd say celebrity deaths might sadden me for a variety of reasons.
Firstly obviously feeling a connection to the celebrity. Alan Rickman for example, for me, was always Snape. I grew up with Harry Potter, the books and the films and obviously I'm aware he has many other great roles, but him as Snape was a big part of my childhood.
Secondly there are deaths where the circumstances resonate. Robin Williams, who I was a big fan of anyway, died by suicide, and I have lost a family member the same way and come very close to suicide myself. So any death from suicide affects me, whether it's a celebrity or not.
And then there are really tragic circumstances that seem to just get to you. I was never really a fan of Glee but I think Naya Rivera's death was awful. Her son must have been terrified, she must have died knowing she'd got him back into the boat but terrified that he'd end up back in the water somehow. I have a child the same age and it honestly makes me tear up just thinking about it. I'd feel the same if she hadn't been famous, but I almost certainly wouldn't have heard about it, so it wouldn't have been able to affect me.
I think when people say they're devastated, they don't mean it in the same way as they'd be devastated if their mother died. I think they sort of mean, "within the context of celebrity deaths, this is one that I find particularly upsetting". It's not a word I'd use about my own feelings though.