If this is a bricks and mortar class, circulate a condelence card. Make sure it is a secular one (this is likely to be a problem if the college is under some other religion’s auspices). This is what is common in offices. This would especially be true if its a large class as opposed to a small seminar. Another factor is whether you are just one name on a roster, or whether you actually work with this professor (e.g. your advisor, specialist in an area you are majoring in, is this someone you’ll be asking for a reference form, etc.).
Also ask why he let you know. Was he explaining why the papers weren’t graded on time and doesn’t expect a reply? Just saying “I’m sorry to hear… ” is probably adequate in person.
You might check some goyish ettiquette books.