Did Sai Baba really die? The texts say he left his body, what does that mean?

This is a profound question. Chapter 43 explains that for a great Yogi like Sai Samarth, what we perceive as death is not an end but a transformation. It is described as a 'false imagination.' Baba appeared in Shirdi for the protection of his devotees, and when his work was done, he chose to merge back into his unmanifest form. He consciously 'burned the body in the fire of Yoga' and now resides in the hearts of his followers. So, while his physical body is gone, he has not perished but has instead transcended the material state to remain ever-present and awake for his devotees.