On August 15, 1926, Valentino collapsed at the Hotel Ambassador in New York City. He was hospitalized at the Polyclinic in New York and underwent surgery for a perforated ulcer. He told his manager George Ullman to contact Rambova, who was in Europe. Upon hearing of his condition, she responded back, and they exchanged loving telegrams, and she believed a reconciliation had taken place. The surgery went well and he seemed to be recovering when peritonitis set in and spread throughout his body. He died eight days later,on August 23, at 12:10 p.m., at the age of 31.

An estimated 100,000 people lined the streets of New York City to pay their respects at his funeral, handled by the Frank Campbell Funeral Home. The event was a drama itself: actress Pola Negri collapsed in hysterics while standing over the coffin, windows were smashed as fans tried to get in, and Campbell's hired four actors to impersonate a Fascist Blackshirt honor guard, which claimed to have been sent by Benito Mussolini. It was later revealed as a planned publicity stunt. The New York Graphic printed a ghoulish fake composed photograph on its front cover purporting to show Valentino in his casket, before the body actually reached the funeral home.

Valentino's funeral mass in New York was celebrated at Saint Malachy's Roman Catholic Church, often called "The Actor's Chapel", as it is located on West 49th Street in the Broadway theater district, and has a long association with show business figures.

After the body was taken by train across the country, a second funeral was held on the West Coast, at the Catholic Church of the Good Shepherd in Beverly Hills. Not having a resting place of his own, Valentino's old friend June Mathis offered her crypt for him in what she thought would be a temporary solution. However, she died the following year and Valentino was placed in the adjoining crypt. The two are still interred side by side in adjoining crypts at the Hollywood Memorial Park Cemetery (now the Hollywood Forever Cemetery) in Hollywood, California.