I recently hired 5 Companions to hunt a group of thieves. The ice thawed while the hunt went on and when I left I had to make rafts and break the ice to cross the now-brittle rivers. Two Companions died trying to walk across the ice, by drowning.
On separate occasions, I've lost at least 3 other Companions who were trying to swim behind my raft. Some had previously crossed the waters where they died. I assume that fatigue factors heavily in their survival, perhaps swimming skills, too.
So, in answer to the question, they CAN die from drowning.