Hello spinalicat and welcome to the forum,
Sometimes, the change of environment when you purchase an orchid is enough to disturb the plant. I had quite few like this, but once they are accostumized to thier new environment, they usually do fine.
I am bit more worry about the leaves falling off. You should let us know which kind of orchid you have and some details about the conditions where you do grow them. And you could tell where you are located, that would help us to help you
I dont think it is dead... yet...