They thought that Jesus was talking about actual sleep, but He was speaking about the death of Lazarus.

Matthew 9:24
"Go away," He told them. "The girl is not dead, but asleep." And they laughed at Him.

Luke 8:52
Meanwhile, everyone was weeping and mourning for her. But Jesus said, "Stop weeping; she is not dead but asleep."

John 11:11
After He had said this, He told them, "Our friend Lazarus has fallen asleep, but I am going there to wake him up."

John 11:12
His disciples replied, "Lord, if he is sleeping, he will get better."

John 11:14
So Jesus told them plainly, "Lazarus is dead,

However, Jesus spoke of his death: but they thought that he had spoken of taking of rest in sleep.