Apparently they do. I just read in the news today that the baby elephant at the zoo here in Calgary has died. We had a great time at the zoo this summer watching and learning about this little guy.
The article said that, "The four adult elephants, including Malti's mother, Maharani, had the chance to gather around the elephant calf to say a final goodbye." I find it really interesting that the elephants would do that.
Perhaps mourning really is universal.