We discuss the stochastic thermodynamics of systems that are described by a time-dependent density field, for example, simple liquids and colloidal suspensions. For a time-dependent change of external parameters, we show that the Jarzynski relation connecting work with the change of free energy holds if the time evolution of the density follows the Kawasaki-Dean equation. Specifically, we study the work distributions for the compression and expansion of a two-dimensional colloidal model suspension implementing a practical coarse-graining scheme of the microscopic particle positions. We demonstrate that even if coarse-grained dynamics and density functional do not match, the fluctuation relations for the work still hold albeit for a different, apparent, change of free energy.