Falling off a ledge doesn’t result in your death. Instead, you’re taken to a penalty room where you have to punch boxes. All but one box will have a bomb. The correct box, which more than once was the only one left after I broke literally every box, will have a spring that returns you to the surface. You don’t lose health, or at least I don’t think so. Instead, you lose coins if the ghost rhinos grab you or if you touch the water or whatever that is.