Yes, what you are feeling is completely normal! It was a shock and happened very recently, so feel grief in the way that your body wants you to feel it. Then, after some time has passed, make your body do normal things (watch films, go for a walk, shower regularly) and then your mind will catch on and heal.
I'm really sorry to hear about your budgie and know how difficult it is. Chin up and remember that your birdie enjoyed every day with you!