News broke in the early hours of Saturday that the 52-year-old had been found unresponsive in a villa in Koh Samui, Thailand.
Reuters news agency is reporting one of Warne's friends performed CPR on him before paramedics arrived.
Warne was taken to the Thai International Hospital via ambulance but could not be revived after about 20 minutes of CPR.
A Thai police officer has told Reuters the death is not being treated as suspicious.
Warne's passing has led to an outpouring of grief on social media.
Federal Treasurer and fellow Victorian Josh Fryenberg described the former star as a "unique character with a remarkable talent and zest for life".
"Shocked and saddened by the passing of Shane Warne," Mr Frydenberg tweeted.
"For Australians he was family. We watched him. Laughed with him. Admired him.
"Will miss you, mate. Rest In Peace."
Federal opposition leader Anthony Albanese said Warne was one of the greatest cricketers the game has known.
"It was a joy to watch him play," Mr Albanese tweeted. "My thoughts go to the ones who loved him the most. We will miss you Warnie."
Deputy Prime Minister Barnarby Joyce said Warne was a "genius" and the 52-year-old's death was an incredible shock.
Hollywood star Russell Crowe tweeted he was having a hard time accepting the news.
"Genius player. Grand company. Loyal friend," he tweeted.
Rolling Stones frontman Mick Jagger said he was saddened by Warne's passing.
"He brought such joy to the game and was the greatest spin bowler ever," he tweeted.
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