Daniel Volquez, 63, died of complications from heart disease, according to a family source.
The source said the pitcher heard the news while on his way to Kauffman Stadium for the game. He allowed three runs on six hits in six innings of Kansas City's 5-4, 14-inning win over the New York Mets.
The Royals confirmed Daniel Volquez's death after the game. Edinson Volquez left after he was removed from the game and did not speak to the media.
Wednesday, speaking in the Dominican Republic at his father's funeral, Volquez said he did not know before he pitched. He said he learned of his father's death "after I pitched the game. My wife was waiting for me with the general manager and they told me what had happened after I finished working."
Royals manager Ned Yost also stated the Royals adhered to the wishes of Volquez's family and declined to tell him what had transpired in the Dominican Republic before he took the mound. The Royals had Chris Young on alert as a potential Plan B starter. But after Royals officials spoke with the family, the team elected to stick with Volquez.
"We found out about an hour before, and we said, 'What do you want us to do?'" Yost said. "And the family said, 'We don't want you to tell him. We want him to pitch this game.' We said, 'If that's what you want, we'll do exactly what you want.'"
According to Yost and other members of the Royals, Volquez's wife and children were on hand to greet the pitcher when he entered the clubhouse after the game. Yost said general manager Dayton Moore ushered the family into the manager's office and closed the door so they could have some private time.
Royals pitcher Jeremy Guthrie said he spoke to Edinson Volquez briefly before he left.
"I could tell he was devastated," Guthrie said. "I had never seen him like that before. He was very subdued, very quiet. I could tell he was in a lot of emotional pain."
Royals first baseman Eric Hosmer offered support to his teammate and commended his performance on the mound.
"Your heart goes out to Volquez and his whole, entire family," Hosmer said. "The way he went out there and battled for us, you hate to hear news like that. But it's another angel above watching us, behind us the whole way."
The elder Volquez, a mechanic in the Dominican Republic, introduced his son to baseball when he was about 10 years old. Edinson Volquez often returned home to visit his parents and said not long ago that they were his biggest supporters while he was trying to make it in the big leagues.
Volquez is the second Royals pitcher to lose a parent in the past month. Young, the starter scheduled for Game 4 before throwing three shutout innings of relief Tuesday, lost his father, Charles, to cancer on Sept. 26. The next day, Young pitched five perfect innings before leaving the team to be with his family in Texas.
Young spoke of his mindset throughout his relief appearance as it related to his recent personal loss.
"Almost every inning tonight I was thinking about my dad and hearing his voice," Young said. "... He's with me constantly. It's still fresh for me, and tonight brought back a tough night I went through a month ago."
Young's pain and the freshness of its presence helped him identify with his teammate in the midst of his loss.
"Words can't describe the pain I feel for Eddy tonight," Young said.
Information from ESPN.com senior writer Jerry Crasnick and The Associated Press was used in this report.