It's sad to lose a bird like that. I have made a bird room so I shut the door when I let a bird out. Mostly only one of my birds is a bit tame. It's really been hard to tame them because I have cats but I like them just the way they want to be. Oddly enough my cats love them too. It's funny because when we didn't have birds my cats would look out the window and make a funny noise when a bird landed on the balcony. I learned that the noise was actually the cat practicing to break the birds neck cleanly.
When I got my birds the first time I tried to take him out of a box and put him in the cage he got loose. My male cat wanted to chase and eat him but my female cat saw it upset me and chased the male cat away. I didn't have my bird room then. I cleaned out a small room for them because the female had another occasion to save the bird unfortunately.
At first I wondered about why she was defending a bird. Then one day and she is nearly 12 now (we are not sure of her birth date but got her 11 years ago) she did something strange. A bird landed on the porch and instead of her usual sound a kind of clicking she mewed softly to attract my attention to the bird.
We've had the birds for a few months and now my cat stopped an 11 year habit. She is confused about the birds outside now. The two males do not click at my birds but continue to click at the birds outside.
Did you know that many people find budgies outside and adopt them? Your bird may have been rescued by a kind heart. Putting a cage with food outside is the easiest way to rescue a bird before winter when you see them outside (for indoor pets escaped).