The SerialUSB stream uses the USB peripheral of the SAMD21. This is an internal component which ordinarily has it's clock stopped when entering deep sleep. (It is likely possible that you can keep the USB running during sleep, however, due to the clock speed the current consumption would probably be close to that of device when awake.)
When the SAMD21 enters sleep the clocks to most of the internal peripherals are stopped. In the case of the USB peripheral, this results in the closure of any connection with the host machine. If you want the connection to be closed gracefully, you need to disable the USB before entering sleep mode.
If you have a terminal emulator running, the session will end when the device enters sleep. A new session will not automatically be created when the device wakes up, unless the terminal program you are using has an auto-reconnect feature. You will also get similar behaviour if you reset the device, the terminal session will close.
This is different to the AVR based Arduino boards which have an external UART->USB chip (like an FTDI or similar). That chip remains running even if the main MCU enters sleep or gets reset.