I will only talk about the air transport and leave the other to clovis or any other who wants to answer.
This is mentioned in the tutioral,any unit in any kind of transport will die if the transport dies.
When a transport receives an attack you don't expect the units in it to do fighting do you?
Edit:If you want to protect your sea transports put bombers or destroyers in them so they do the fighting(at least until they are destroyed) and for air transports put bombers.
I hope I helped