The man suffered a medical emergency at the Palais Theatre in St Kilda on Wednesday night, festival organisers said.
AAP has been told the man was sitting at the back of the theatre and audience members attempted to give him CPR for about 10 minutes before paramedics arrived.
It's understood the show continued until organisers were alerted to the emergency and the performance was stopped.
"Melbourne International Comedy Festival regrets to confirm that there was a medical emergency while the Opening Night Allstars Supershow was taking place this evening at the Palais Theatre," the festival said in a statement.
"The show was stopped and cancelled. The Festival will be in touch with all ticket holders."
Ambulance Victoria confirmed paramedics responded to an emergency call about 8pm.
Victoria Police said the death of the unidentified man is not being treated as suspicious.
Comedians and audience members took to social media to express sorrow or concern about the how the incident was handled.
"All performers thoughts are with the family affected," Dave Hughes wrote.
The rest of the festival will continue as planned.
AAP has contacted Palais Theatre operators Live Nation for comment.
17°C