The Collector has always seen you as their sibling figure, wich is why they are so attached to you. After they saw luz die in front of them, they obviously didn't understand that belos just killed her, and that she would actually be gone

"Luz? Luz! Yohoo, you can come out now!"

They held her hat in their hand, confused they tried to bring her back, but their powers weren't working

(Takes place just After Luz died in wad)