My Zebra Finches puffed their feathers, what does that mean?

I got two female Zebra Finches for Christmas. They were healthy and skinny. Next day they both puffed their feathers up and stayed that way. About 5 days later, one died. The other one stopped puffing its feathers when we pulled the dead bird out of the cage. The one bird that has died we can not tell what of. No scratch marks or anything. Seemed healthy Christmas Day. Thanks for any help.