Here's my ship just before I explored a wormhole in EVE Online. On the far side I was attacked by another player who not only blew up my ship but also hunted down my escape capsule and destroyed that too.
Fortunately my clone was up to date so my character lives on. I'm a little wiser, though I did lose the ship and everything on it. I have other ships and plenty of money so this is just a temporary setback.
Having consequences for dying in game is one of the things I like about EVE. You do need to consider the risks of doing things and know when to run away.