CO poisoning is cumulative. It takes a long time for CO to get unstuck from hemoglobin. It could have snuck up on them slowly, then one evening with the cats "napping" they felt particularly tired and thought to themselves, "We must be in hibernation mode from the chilly weather," then they went to sleep then never woke up.
CO is odorless. You might get a headache, or you might only feel tired. What's worse: a lot of CO detectors are pretty shoddy.