Yes this is true...the 11yr old knows where he is and she has seen and been with him when she was younger...she just feels very protective over her sister when it comes to her dad. We are working on no grudge or bitterness its a tough one it comes and goes.
First, you need to have a serious talk with the 11 year old. She's old enough to have a lot of questions and does need answers that are appropriate for her age. The younger one...well, something as simple as "your dad isn't dead but he can't be with you or he's not close enough, etc." should be enough for her. Just make sure she understands it's something to do with him and not her!!