It's not the first time. That doesn't make it any easier, or any less permanent, this time.
After Goku teleported Cell onto King Kai's planet, the least inhabited location still detectable by ki, his friends held out the hope that his heroic sacrifice might yet be rendered less of a sacrifice, if no less heroic. The new Dragon Balls can, supposedly, revive someone more than once. The Namekian set definitely can.
It doesn't matter. King Kai delivers the news in hushed telepathy, not-quite-hiding his worry. Goku's soul failed to arrive in the afterlife. He's not here. He's not, as far as they can tell, anywhere.
They try anyway. It should take a wish to reach New Namek, but King Kai's telepathy makes it easy, and however he may bluster, he's more worried for his student than over his own death. But attempts to revive Goku only confirm the worst. Even Porunga cannot find him, wherever he's gone.
Cold realization sets in.
Chi-Chi doesn't know. No one wants to be the one to tell her. To the surprise of many, Bulma volunteers. She knew Goku longer than anyone living. She started him searching for Dragon Balls, started him saving the world; in a small way, she is the reason he's gone.
She tries not to think about that as she flies the wounded Gohan home. She doesn't quite succeed.