I don't feel sad when celebrities die because I didn't know them personally. I think it's normal to not be sad if you didn't intimately know the person.
I don't cry or anything, i just get a little bit sad knowing you'll never hear new stuff or a kick ass tweet from them again. Kind of like when a normal person dies.
I don't keep up with any of the celebrity stuff so that's probably why I never feel anything either. It sucks that they died but I had no connection with them and felt nothing for them so it doesn't really affect me when they die.
It depends for me. If it's a celeb that I see quite often in movies or songs, it rattles me to the core. If it's a celeb that I don't follow or don't listen to their stuff or watch their shows/movies then I get a little shocked, then I'm over it pretty quickly (as horrible as it sounds)
If it's one you love, yeah you'll feel devastated but one that you don't know, I hope they rest in peace