John McCarthy was one a group of players in the United States for an end of season holiday but the 22-year-old midfielder was not believed to be with any of his teammates at the time of his death.
"The club was informed by US authorities in Las Vegas this morning (Monday) that John had died as a result of injuries sustained in a fall from a building," Port Adelaide said in a statement.
"The circumstances of the tragedy are still being investigated."
McCarthy played eight games for Collingwood in 2011 but made the move to Port Adelaide in 2012, playing 21 of the 22 games this season.
"John embraced Port Adelaide and we embraced him, and we are deeply shocked and saddened by his passing," Port Adelaide chief executive Keith Thomas said.