Sunny, I agree with the others here. Their ages are key, and denial of the reality of death isn't at all unusual. Some carry that for a long time in their lives, the fear is so great.
And it's so classic, the "THAT will never happen to me!" (no matter what the "THAT" is).

Maybe making it more personal by letting your daughters know how devastated you would be if something happened to them might help them understand your empathizing with the speakers.

I remember when my Dad was teaching me to drive. I was driving in a neighborhood where there was parking on one side of the street. Some little kids were playing with a ball up in their front yard or on the sidewalk. He cautioned me to be on the lookout for kids chasing their toys or riding their bikes out between the parked cars and unexpectedly coming into the street. I told my Dad well they would be wrong and it wouldn't be my fault if something happened. He quiety said to me "That may be, but I know you and if something happened I don't think you could live easily with it." So he turned it from being about caring about the kids who might run into the street (I believe I was jealous of 'those kids' getting his attention and caring) and he made it personal, about me and how I would feel. It was a rare and very memorable moment with my Dad.