Khaines not dead! He's just uh...Sleeping!
For real though. He's not dead. Just broken. The other eldar gods (excluding Clown and Nurgle wife. Their names are blanking on me for some reason) are dead. Khaines just sleeping in shattered form. Occasionally (when someone is sacrificed to create an avatar) Khaines sleeping consciousness bestows a statue (I believe) of Khaine with a fraction of his power so that he may smite the enemies of the Eldar. Or get wrecked by the main enemy of the week. Can't remember if this was canon or not but I think there's a dark Eldar cult dedicated to reuniting Khaine.