There are two general possibilities:
1. Richard was referring to the Incident of 1977. Although not shown in the season 5 finale, it could be possible that Richard was watching the events from a distance and when the bomb went off and they were gone (transported back to 2007) he would have assumed them dead.
2. Richard could be referring to some other time period between 1977 and that episode (in 2007) that is in the "future" for our characters. In this case there would have to be some kind of time travel to some point before 2007 so Richard could see them die and relate that information to Sun. These people could also be the "sideways" version of the characters...although that's a stretch.
Of the 2 options, the first seems the most plausible and may be confirmed if we get a Richard Alpert episode in Season 6.
Or 3. Maybe he was talking about the purge. He did watch all of the remaining DI die.