It is shown in the anime that the jinchuruki is caught and the tailed beast is extracted and sealed into the Demonic statue by the Akatsuki. What will happen if the jinchuruki is killed somewhere else? In search for Tsunade arc, during the fight between Jiraiya-Tsunade and Orochimaru, Orochimaru tries to kill Naruto as he is the jinchuruki of the nine tails. What would have happened to the nine tails if he had killed Naruto?
After a period of time the tailed beast will revive, so they will survive the death of the host.
However, it is revealed that the tailed beasts can actually survive their jinchūriki's deaths, with the only consequence being that it will take time for them to revive without a host.
Source: Narutopedia - in the second paragraph of that section.