Where did you read it ?
Died together? What? What happened to Zero? I heard this was about showing their relationship after Kaname died.
I think u are very confused. Zero already died long time ago. Yuki kept on for more years like 700 years or so to find a solution to revive Kaname. She revived Kaname by sacrificing herself.
The sequel Memories (the one u are reading on this page) is Kaname finding out what happened during all those years he was “asleep” with Yuki, their daughter and Zero etc.
At present Kaname succeeded in reviving Yuki, they embraced and their confessed their love for each other and died together turning into dust.
Read last chapter of VKM! OMG the ending hurt me while I am happy Kaname revived Yuki and they had their last moments together it was too little for my poor yume heart. In the end they died together sharing their last breath under the sunny sky and in peace.