The Argentine-born former striker and honorary president was "the best player of all time", Real Madrid said.
Di Stefano had been taken to hospital after suffering a heart attack on Saturday.
Rescuers had battled for 18 minutes to revive the 88-year-old after his heart stopped following a restaurant lunch with his family near Real's Santiago Bernabeu stadium.
He had been taken in a serious condition to the Gregorio Maranon hospital which later said he was in a coma, had been sedated and was breathing with the help of a machine.
"Real Madrid Football club's president Florentino Perez and the club's board of directors wish to express their deepest condolences and all their love and affection to his children, his family and friends," it added.
"Real Madrid extends its condolences to its fans around the world and to those who are feeling the emotion of losing the best player of all time."
On Saturday, newspaper El Pais said Di Stefano had been eating with his family when he felt ill and sat down in his wheelchair. By the time an ambulance arrived he was in cardiorespiratory arrest.
He was one of Real Madrid's most celebrated players, having represented the club for 11 seasons between 1953 and 1964, winning five European Cups.
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