The concept of death, as we understand it, doesn't truly apply to Sai Baba. Chapter 43 explains that for a Yogi like Sai Samarth, who appeared for the sake of his devotees, birth and death are considered false imaginations. When his work was complete, it is said he left his body, but this was a voluntary act. He burned his body in the fire of Yoga and merged into the unmanifest, where he continues to reside in the hearts of his devotees. Therefore, the idea that his conscious being perished is something the mind does not easily accept, as he is described as beginningless and endless.
Did Sai Baba really die?
π Chapter 43