Later , A.A. Mordvinov reported in his memoirs that the four Grand Duchesses looked `` cold and visibly terribly upset '' by Rasputin 's death . He added that they sat `` huddled up closely together '' on a sofa on the night they heard he was killed . In his memoirs , A.A. Mordvinov reported that the four Grand Duchesses appeared `` cold and visibly terribly upset '' by Rasputin 's death , and sat `` huddled up closely together '' on a sofa in one of their bedrooms on the night they received the news .