It is difficult to know why the chick was strong enough to hatch, but then died. Are there other hens that have access to the area? The broody should stay on the newly hatched chick for a day or so until all eggs that are going to hatch do hatch, then she will lead them from the nest. She keeps them warm, they dry out and fluff up under her, and she protects them from other hens. If she left the newly hatched chick right after it hatched (or was driven away by another hen) the chick would die rapidly from cold exposure. If she is a first time broody- sometimes they just do not know what to do. The other egg that didn't hatch may have been infertile, or if it got too cold because the broody left- the chick inside would not be strong enough to hatch and die as well. Hens sometimes will kill chicks too. Especially if another not broody hen discovers a hatching chick or newly hatched chick. If someone else killed the chick, the broody would leave it. If the chick looks perfectly normal, just dead- it may have died from cold exposure. Henny Penny may just not have been experienced enough, she may do better next time. I have a few good broodies, and several that brood, but are not good mothers- so they no longer get to hatch any eggs. If you have several hens and they have access to your broodier, set her up in a private place next time- and you may have better luck.
