Also experienced this in Palace of the Dead.

Here are the details and a screenshot:

System: Playstation 4
Time: Approx. 6:00CST 09/28/2016
Frequency: Always
World name: Gilgamesh
Character name: Renard Clavis
Retainer name: -
NPC name: -
Monster name: -
Class/Level: 60 (Palace of the Dead Level was 46)
Party or solo: Solo
In-game time: Unknown
Area and coordinates: Palace of the Dead, Any floor
Housing: -
Steps:
1. Entered Palace of the Dead solo as a SMN.
2. Was killed by a monster on various floors (progressed up to 36 in screenshot).
3. A text window with Japanese text pops up (Seen in attached screenshot).
4. Selected the "OK" button.
5. Was returned to Quarrymill.