'Like all my big brothers, Peter will always be a hero to me. I have so many great memories of the good times we have all spent together and they will be with me forever,' Fanning wrote to his 705,000 Instagram followers.
Mick Fanning, who survived a shark attack in South Africa in July, decided to keep competing at the Pipeline Masters in Hawaii to pursue his fourth world surfing title despite learning of the death of his brother.
Before entering the water for competition, Fanning was told his 43-year-old brother, Peter, had died back in Australia.
"It's kind of heavy to talk about right now," the 34-year-old Fanning said early in the day.
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He won his next two heats to reach the quarterfinals.
No cause of death was given for Peter Fanning.
Mick Fanning has endured a number of personal hardships throughout his career. In 1998, he delivered the news to his mother that another brother, Sean, had been killed in a car accident.
Today, Fanning posted on Instagram a childhood school photo of him and his three brothers, saying he and Peter had recently seen each other.
"He told me how proud he was of me and how much he loves watching me compete," Mick Fanning said in his post.
"Today was one of the most challenging days of my life, but I knew I could find the strength to take part in the final event of the season because that's what Pete would want."
A YouTube video of Fanning punching and fighting off a shark while competing at the J-Bay Open at Jeffreys Bay, South Africa, has been viewed more than 22 million times.
The death was confirmed by Fanning's Rip Curl team. "This is a sad and unfortunate incident and is a private matter for the family to deal with," a Rip Curl spokesperson told the ABC.
"We ask that the media respect their privacy. But we can confirm Mick's older brother Peter has sadly passed away. We will not be commenting further."
Earlier, the Seven Network reported Peter had been staying at Fanning's Queensland home following his recent divorce.
It's believed Peter, 43, had three children.
In August, Fanning's mother Elizabeth Osbourne told 60 Minutes of the pain of losing a child and how she feared it would happen again when Mick fought off the shark.
"I thought, the universe can't be this cruel," she said.
"And it also makes me think of the years we've had without Sean and how we really stuck together during that time and how beautiful it's been. "Only the one thing about our family now, especially me, is that I'm much more anxious."
- AAP and AP
