He was 76.
The Australian Directors Guild announced the death of the Dutch-born filmmaker, author and photographer on Twitter, without disclosing the cause of the death.
Cox's body of work included "Man of Flowers" in 1983 and last year he released "Force of Destiny", starring his frequent collaborator David Wenham, which was based on the director's cancer battle before an eleventh-hour liver transplant in 2009 pulled him back from the brink of death.
The director's 1982 film, "Lonely Hearts", which explored the life of a middle-aged man searching for love through a dating agency, won the AFI award for best film and was nominated in four other categories.
Cox was born in Venlo, Limburg, the Netherlands, the son of Else, a native of Germany, and Wim Cox, a documentary film producer. He emigrated to Australia in 1965.
The filmmaker's Melbourne-based daughter, Kyra Cox, turned to Twitter to express her grief.
"Goodbye my beautiful daddy. I love you with all my heart and am so very proud to be your daughter," she wrote.
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