Unfortunately some chicks just aren't destined to make it. That may be what happened. Or, it may have wandered or got kicked out of the nest and gotten chilled.
Have you observed the hens to see how they're behaving with the chicks? Are they killing them or does the death seem to be accidental? Have they been broody before? Could the hens be fighting in the nest?
I leave mine to do the chick rearing, its so much easier. I don't have to pay for the electricity to keep them warm, tend to an extra pen or introduce them to the flock. But, nit all mother hens are made equally. Some of them are horrible, others are wonderful. If I were in your position, I'd probably go out and sit for a while and watch their behavior. If theyre harming the chicks, pull them as they hatch and put them in the brooder. If they seem attentive, leave them to it. Have you checked to see if there are any hatched, still living chicks under them?