Between 1997 and 2007, Don DeLillo published three novels concerned with loss and mourning. Two of these, Underworld (1997) and Falling Man (2007), revolve around unique historical events in which the question of American exceptionality is foregrounded, and both relate this question of exceptionality to the experience of loss. This essay argues that while DeLillo accepts the historical specificity of the events of 9/11, his novel Falling Man is wary of any claim to their exceptionality. It argues further that while Falling Man and Underworld both contain moving explorations of the vicissitudes of loss, Falling Man is more concerned with the loss of loss, the end of mourning, an idea which illuminates the novel's arresting juxtaposition of Søren Kierkegaard and T. S. Eliot. As the three novels appeared, DeLillo seemed increasingly concerned to explore the overcoming of grief, the loss of loss, in the context of female subjectivity, and to trace the failure to overcome it to the masculine psyche, and I draw upon the work of Julia Kristeva in order to address this. The pattern is at its starkest in The Body Artist (2001), with which the essay briefly concludes. We begin by looking at Underworld, where loss seems to be the presiding masculine emotion.