Thompson died at his self-described "fortified compound" in Woody Creek, Colorado, at 5:42 p.m. on February 20, 2005, from a self-inflicted gunshot wound to the head. He was 67 years old.

Thompson's son (Juan), daughter-in-law (Jennifer Winkel Thompson) and grandson (Will Thompson) were visiting for the weekend at the time of his suicide. Will and Jennifer were in the adjacent room when they heard the gunshot, though the gunshot was mistaken for a book falling, and so they continued with their activities for a few minutes before checking on him: "Winkel Thompson continued playing 20 questions with Will, Juan Thompson continued taking a photo." Thompson was sitting at his typewriter with the word "counselor" written in the center of the page.

They reported to the press that they do not believe his suicide was out of desperation, but was a well-thought out act resulting from Thompson's many painful medical conditions. Thompson's wife, Anita, who was at the gym at the time of her husband's death, was on the phone with Thompson when he ended his life.

A suicide note delivered to his wife 4 days before his death was published by Rolling Stone Magazine. Entitled "Football Season Is Over", it read:

"No More Games. No More Bombs. No More Walking. No More Fun. No More Swimming. 67. That is 17 years past 50. 17 more than I needed or wanted. Boring. I am always bitchy. No Fun - for anybody. 67. You are getting Greedy. Act your old age. Relax - This won't hurt"

Artist and friend Ralph Steadman wrote:

"...He told me 25 years ago that he would feel real trapped if he didn't know that he could commit suicide at any moment. I don't know if that is brave or stupid or what, but it was inevitable. I think that the truth of what rings through all his writing is that he meant what he said. If that is entertainment to you, well, that's OK. If you think that it enlightened you, well, that's even better. If you wonder if he's gone to Heaven or Hell - rest assured he will check out them both, find out which one Richard Milhous Nixon went to - and go there. He could never stand being bored. But there must be Football too - and Peacocks..."