The same thing has happened twice for me.

The first time I was on the hospital roof, was going to climb down and my character suddenly jumped down and I got "You are dead" -message.
Later I relogged into the game and all my stuff was still with me and apparently I didn't die after all.

The second time I was inside a apartment block, walking and looking for loot until my character teleported through the wall and died.
This time I didn't get to keep my items.