The Bulls issued a brief statement on Monday confirming Lily's death and expressing the club's sorrow.
"The club would like to express its heartfelt condolences to Uli, Uli Jnr and the extended family during this difficult time," the statement read.
Davila has become a hugely popular figure since arriving in the ALM in 2019 with the Wellington Phoenix.
The Mexican spent two seasons with the New Zealand-based club, sharing the 2021 Johnny Warren Medal with Sydney FC's Milos Ninkovic after racking up 12 goals and five assists with the Phoenix in the 2020-21 campaign.
Davila joined Macarthur on a three-year deal ahead of the 2021-22 season before being appointed captain soon afterwards.
He scored seven goals in a season disrupted by injury and COVID-19 as the Bulls missed out on the finals.