They generally don't but they have instinct of survival(as all living beings) so they essentially want to live as long as they can. But mammals do have emotions and when they see their fellow buddy dead, they start to mourn. I remember watching documentary about monkeys and scientists put plastic monkey on the floor acting dead in front of group of monkeys and monkeys gathered together, hug each other and started crying, thinking the dead monkey was one of them. I think that was ephemeral emotion and thought but in that moment they knew that they can die too.