If it's true and factual and not an overreaction, then I think it's okay to say. We have a very high deck and my LO sometimes sticks his foot through the railing (he can't actually fall through it) and says "Fall down there, mummy?". I always reply "If you fell from this high you might really hurt yourself or die", because it's true. He's a gung ho boy and he probably would try to jump off when he was older if we didn't dissuade him. He doesn't know what death is yet, but he'll figure it out and make the connection.