This was inspired by Arisprite's Sketches Of Baker Street, specifically, sentence 45: Lose. I suggest that you go and read it, because it's really good.
A choked sob.
"He's gone, Mycroft. I couldn't get there in time. It's all my fault! I should have been faster!"
More sobbing. Mycroft stayed quiet, out of his depth in such an emotional situation.
A deep breath.
"It's just so sudden. We were on a case, and he had a gun, and he jumped in front of me, and - and he was shot, and now he's just gone!"
Another deep breath.
"Tell Mrs Hudson, Mycroft. She needs to know, and I'm not leaving. Not yet. Goodbye Mycroft."
The line went dead and Mycroft quietly hung up the phone.