I shall endeavor to answer this question here. Be forewarned, like everything else on this blog, these are my beliefs personally and you're welcome to disagree :)
What is Death?
I believe in a theory which is known as "soul sleep"; it's this idea that when you die, your soul takes a long nap until it can be reunited with your perfected body in the resurrection. I think this jives well with Scripture and simply makes sense (because I have little confidence in alternate realities and thus have a hard time placing "heaven" as an ontological place). I do think that while we are sleeping we are given the sweetest dreams in which God comes to us in fellowship and we are allowed to experience paradise at that point, but these are not to be final - that is saved for the resurrection.
So, if this is what is in store for my loved ones, then why would I cry? Hold that thought.
Who Am I?
I think that when we understand our identity it must be seen in terms of relationship. I think that part of the image of God that we bear is the necessity for relationship as the Father is in relationship to the Son and Spirit and creation as a whole and us in particular. This means that, in a sense, I am the sum of the relationships that I have - to my wife, children, parents, siblings, friends, acquaintances, etc. So, when I meet someone new, I immediately give them a measure of myself and am changed to a small degree on a metaphysical level. The longer and more intimate of a relationship that I have with this person (any person), the more that they affect who I am and I them.
Why does this matter? Hold that thought too.
Putting it together as a Christian
When I take these two ideas and put them together and ask why death hurts Christians emotionally (which can lead to physical pains, but we won't go there in this post), I am brought to the following conclusion:
The pain that we feel from losing a loved one is the pain of self-separation.
This is not to say that I, as an individual am personally disintegrated, but that a part of me has metaphysically left me and there is a hole of sorts in its stead. There is pain in this and there is sorrow, but it is not at the idea that I'll never see this person again, nor is it in any doubt about their relationship to God (which is none of my business really). Instead, it hurts because I am fundamentally a different person without that loved one in my life.
Other places that the theory holds
This idea also seems sensible in the face of divorce in which a relationship that was once so intimate is now torn apart. Children and ex-spouses alike feel the void and, though they may be happy with new companions, there is still a connection to the previous life. If both people are still living, there is still a part that impacts the others identity.
This theory also supports why sex outside of marriage is a bad idea; that is, when one shares the intimate connection that a healthy sexual relationship is suppose to contain, a deep part of themselves are connected. When one promiscuously sleeps around - or even just has sex with whomever they're dating at the time, even if they only date a different person every 5 years - it is spiritually damaging and what is divinely designed to be a permanent relationship gets worn out like a screw that is stripped from overuse. There can be healing when a permanent relationship is established, but this process is painful.
Finally, this theory holds when we see childhood friends for the first time in a long time. The rekindling of relationships that have been long set aside can be one of the most beautiful moments because that part of you that has been untapped for so long can finally be re-explored. Childhood friends and school mates are great to keep around, but sometimes its sweeter to re-acquaint them later in life as well.
I encourage my reader to take some time to think about their relationships and life experiences in light of this theory. If every person I meet literally shapes who I am on a metaphysical level, perhaps I ought to be more careful with my relationships in general. Maybe I should be kinder to strangers who may end up having a long bearing on my life and whom I impact with my life. Perhaps my testament to the good news which is the establishment of the Kingdom of God is found more within how I shape people's lives with my friendship and not in my ability to argue well. There are profound implications and it is good to chase them out.
In regard to the topic at our outset: grief, it is natural and healthyto feel pain at the loss of a loved one, but listen well to Scripture to hear Jesus whisper to you "why are you crying? They're only sleeping". Allow the Spirit of God which is in you to heal the hole that has been left by a relationship lost; Christ is enough.