No direct command
The New Testament often calls Christians to pray for one another, for leaders, and for people who need help. Yet it does not give a clear command to pray for someone after they have died. That silence is why many Protestants do not make prayer for the dead part of their practice.
Hebrews speaks of human death followed by judgement. Many readers understand this to mean that a person's standing before God is settled by God's judgement, not changed by prayers offered by others afterwards. This does not make God harsh. It means his judgement is real, wise, and final.
And as it is appointed unto men once to die, but after this the judgment:
Why Christians differ
Christians have not all reached the same conclusion. Catholic and Orthodox Christians commonly pray for the departed, entrusting them to God's mercy. Protestants generally believe that Scripture gives no sufficient basis for asking God to alter the condition of those who have died.
A passage sometimes discussed is Paul's prayer that the Lord would show mercy to Onesiphorus in the day of Christ. Some think Onesiphorus may already have died because Paul sends greetings to his household. Others think he was alive but absent. The passage does not plainly tell us to pray for the dead, so it cannot settle the question by itself.
The Lord grant unto him that he may find mercy of the Lord in that day: and in how many things he ministered unto me at Ephesus, thou knowest very well.
What Scripture says about death
Jesus described a great separation between Lazarus and the rich man after death, one that could not be crossed. Christians who do not pray for the dead often see this as reinforcing the finality of death. They put their hope in responding to Christ now, while life is still before us.
Still, this teaching is not meant to silence sorrow. Jesus himself wept at Lazarus's tomb, even though he knew he was about to raise him. Grief and faith can sit together. You don't need tidy answers before you speak to God.
Jesus wept.
How to pray when you are grieving
If you come from a tradition that prays for the departed, you may place your loved one in God's merciful hands. If you believe prayer cannot change the dead person's state, you can still thank God for their life, name what you miss, and ask for comfort for your family.
Scripture clearly encourages prayer for living people. Pray for those carrying the loss, for peace in a troubled home, and for grace to keep going one day at a time. Abraham called God the Judge of all the earth and trusted him to do what is right. That is a safe place to rest when much remains unknown.