I am so sorry to hear of your loss of Jeff.
The budgies are naturally curious about where Jeff went, but they will be fine. It’s normal for birds to behave this way at the loss of a friend. Some birds even get depressed for a bit and mourn. Good news is that birds are very resilient, and they move on quickly. Usually much more quickly than a mammal pet would. They’ll be okay soon. I promise! Take care yourself.