I understand it does freak you out when your 4 year old talks about being dead. My son just turned 5, but in the previous year at various times, especially when he got really mad about something, he would occasionally say "I wish I were dead". Of course, the first time I heard that, I was completely thunderstruck. My husband has a way of sitting down with my son and gently asking him questions to find out the real motives behind what he says. In this case, he told him that we don't want him dead and asked him if he knew what it meant. My son didn't really get the idea that it was a permanent circumstance. We told him in terms that he'd understand what being dead really means and he got really sad and started crying. I think that he had heard the word in various scenarios - at preschool, from older kids of our friends - that didn't really show him what it meant. For instance, when our friends would come over with their kids who were ages 9 to 14, they'd play video games they'd brought along. For the record, my friends don't let their kids play really violent video games, however, I can imagine one of the "big" kids saying "I'm so dead" or "gotcha - you're dead" while playing their games. Or the boys bothering the girls and the girls scream "you're so dead - leave us alone". I think you get the idea. In general, our society uses "dead" loosely so perhaps your daughter has heard it under different circumstances and doesn't think it's a big deal. We don't let our kids watch the TV shows we watch - in fact, I make my husband change channels during commercials on Sports Center because so many are violent video game advertisements. If you watch any TV except sitcoms, generally, there is a dark undertone - often with death to them. Think NCIS, Burn Notice, etc. If our kids see that, they can start to think that being dead isn't such a big deal.
I guess what I'm saying is that our kids have stuff coming at them from all directions and we have to step up and ask questions to find out why they're doing what they're doing. Sometimes kids say things and figure out that we're sensitive to it. Maybe her dead comment wasn't really anything the first time, but when she saw she got a reaction from you, she decided to keep going with it. You know her better than anyone, so spend time with her and ask questions that will help you understand what she's thinking and where she's getting these thoughts. I'm sure you'll get to the answer.