Yes it's a hardcore feature, your companions CAN die to the enemies. But there are various other ways [that companions can die][comp]. They can be killed while they are not your companions. So, before getting them, or after dismissing them.

There are also some [reports][bug] that companions can be killed in casual mode by doing massive damage to their bodies when they are knocked down. This is probably a bug.

[comp]: http://www.falloutwiki.com/Fallout:_New_Vegas_companions#Notes
[bug]: http://www.falloutwiki.com/Talk:Fallout:_New_Vegas_companions#unkillable