Hannah Defoe died while on holiday in St Lucia, it was revealed on the club's official website.
According to reports, she was fatally electrocuted after diving into a hotel swimming pool while her mother Janet was also treated in hospital for electric shock after trying to save her daughter.
"Everyone at the club sends their sincere condolences to Jermain and his family and all our thoughts are with them at this sad time," read a club statement.
The Foreign Office confirmed the reports of the death, believed to have happened on Wednesday.
A spokeswoman said: "We are aware of a death of a British national in St Lucia. We are currently offering consular assistance to the family."
Defoe briefly left England's Euro 2012 camp following the death of his father.
Another of his cousins was murdered after disturbing burglars in his native St Lucia last year, while his brother Jade Defoe was killed in a street brawl in 2009.