When kids leave....

[Fun&care]

I really think you should just tell them for two reasons:
1) they might worry they are next like you said or
2) they might think something is wrong with your daycare and start looking elsewhere.

I see nothing wrong with giving a quick explanation. Changing hours or a nut allergy are not big crazy secrets anyways. Just stick to the facts and don't say anything bad or start gossiping about the other families and you will be fine and I think the other families will appreciate your honesty.