It wasn't immediately, but I did eventually delete my late brother's number from my phone (about 2 phones ago) and some others as well. I think I still have a friend's number (a friend since High School) who died almost 3 years ago now.
It is tough to just delete those numbers or messages when you reflect back on those number being the last known means of contacting them. As strange as it sounds though, I know I felt relieved after I did knowing it was a form of moving forward. We all move forward at our own pace and in our own good time.