This situation is far from being precise enough to have a definite answer.
Among the plausible possibilities:
The species is completely unable to react
They continue living as they did, and don't react at all as they can't understand at all what is happening. Maybe the humans will invade the planet and exploit is resources, or slaughter them, or something else, depending on what was the reason for the war in the first place.
The species ends up assimilating the threat
Maybe despite being unaware of the concept of war they are aware of the concept of danger. If so they can identify the humans as a danger and try to counter them, like you would counter an illness, a threatening volcano or any dislikable thing. They would probably end up loosing the war because of their lack of experience but many factors could help them (time to travel for humans, overpowered secret psychic powers for aliens... )
The species reacts, but in an unexpected way
Any reaction could happen if you consider the aliens alien enough. Maybe they will start a cult around the murderer as they see him as someone above the natural rules, maybe they will all commit suicide to understand how it works, maybe they will make their planet explode as it is what is supposed to happen in the end of their calendar...
The reaction could be completely foolish, or have good repercussions, who knows? For example maybe they have a habit to nuke everything around their planet each time they have a problem they don't understand and because of this habit they never encountered any other civilization, and thus never needed to keep the notion of war: they just launch nuclear missiles like some humans fire anti-chem-trail fireworks, without knowing what it does exactly.