They do? I've seen my companion thwacked my a Giant, fly into the stratosphere, slam face first into a rock on the way down, slide down the the mountain, then get back up 1 minute later. And charge at the Giant again and repeat.
My companion has been "killed" a few times now in the same manner but never actually dies. Similar to an "Important NPC" staggers for a bit then returns to normal.
The only way my companion has died, is if I was the one who killed her on accident with a shout or her jumping infront of my mace.