Grief is a multifaceted response to loss, particularly to the loss of someone or something that has died, to which a bond or affection was formed. Although conventionally focused on the emotional response to loss, it also has physical, cognitive, behavioral, social, cultural, and philosophical dimensions. While the terms are often used interchangeably, bereavement refers to the state of loss, and grief is the reaction to loss.
Not everyone grieves the same, and what I am about to write is just me expressing what has crossed my mind in the past and what is crossing my mind right now.
Edited To Add: apparently, the sound on that clip is too low for some to hear. Paraphrasing, the transcript of the clip can be boiled down to this:
Inara (the woman): “You don’t have to die alone.”
Mal (the man): “Everybody dies alone.”
The scene is about him staying with his ship (dead in space) while they go off in the shuttles looking for help. At this point of the story, his chances of surviving if he stays on the ship are not that good.
That scene is from the Firefly episode Out of Gas, one of my favorite episodes in the series.