The 27-year-old 11th Earl of Shaftesbury - whose father's death is being investigated as murder - has died from a suspected heart attack.
The 10th earl's body was discovered earlier last month
Anthony Ashley-Cooper died in New York on Sunday, Sussex Police said.
His father, also Anthony Ashley-Cooper and the 10th Earl of Shaftesbury, was found dead in France last month.
The family said on Thursday that they were keen to stress there was every reason to believe the younger Lord Shaftesbury died of natural causes.
A statement issued through Sussex Police said: "The 11th Earl of Shaftesbury died suddenly and unexpectedly on 15 May in New York.
"He suffered a heart attack, although the precise cause of death has not yet been identified and the coroner's study is ongoing.
The earl had not been seen since leaving this Cannes hotel
"Following some press speculation, the family is keen to stress that there is every reason to believe that Lord Shaftesbury died of natural causes."
The family said they were "devastated by the loss of such a talented and loving young man".
The statement said: "Lord Shaftesbury had only recently inherited the title and estate on his father's death and had been immensely looking forward to the challenges ahead.
"It is the greatest tragedy that these have been denied him.
"The family asks for privacy and consideration at this traumatic time."
His 66-year-old father, who had homes in London and on Hove seafront and spent much of his time in France, went missing on the French Riviera on 6 November.
The 10th Earl of Shaftesbury had apartments in Cannes and Versailles and a country home near Toulouse.
He divided his time between Britain and the south of France where he had a reputation as an international playboy.
His third wife, Jamila M'Barek, a 37-year-old former nightclub hostess and her brother, Mohammed M'Barek, have both been placed under investigation for murder in France.
Ms M'Barek has allegedly confessed to playing a part in the earl's disappearance.
She is undergoing treatment for depression at a prison hospital in Nice.