The Self cannot be pierced by weapons or burned by fire;
water cannot wet it, nor can the wind dry it.
The Self cannot be pierced or burned, made wet or dry.
It is everlasting and infinite, standing on the motionless foundations of eternity.
The Self is unmanifested, beyond all thought, beyond all change.
Knowing this, you should not grieve.

    The Self cannot be stabbed, burned, drowned, or otherwise harmed by physical means because the true Self is spirit, not matter.  Spirit is eternal and infinite.  While we often think of our spirit as being within us or around us like our aura, it is really everywhere because space has no significance to spirit.  And if space is meaningless, so is time.
    While I understand the last line of this quote, I think most of us need to grieve when we loose a loved one.  We grieve, even though we believe in eternal life in spirit, because we are grieving our lose in the here and now.  To highly advanced spiritual persons, that doesn't make much sense, but for most of us, it does.