Pedro Aunion Monroy, who lived in Brighton, fell in front of 35,000 people while he was in a suspended glass box about 30 metres above the ground.
Green Day – the headliners at the Mad Cool festival in Madrid – are believed to have gone on stage afterwards without being told of the tragedy.
After their Friday night gig they tweeted: “We just got off stage at Mad Cool Festival to disturbing news. A very brave artist named Pedro lost his life tonight in a tragic accident.
“Our thoughts and prayers go out to his family and friends.”
Our thoughts and prayers go out to his family and friends
— Green Day (@GreenDay) July 8, 2017
Event organisers said they decided not to cancel the rock group’s performance “for security reasons”.
They also expressed their condolences to Mr Aunion Monroy’s family, saying they “regret the terrible accident”.
The 42-year-old acrobat was thought to have been wearing a harness as the box was suspended from a crane.
In a final Facebook post on Thursday, he posted a picture of him with his boyfriend, writing: “I can’t wait to see my beautiful boyfriend. Love, come to my arms!!!!!”
His sister confirmed his death in a post online.
Estefi Chaje wrote: “To all the friends of my brother Pedro Aunion Monroy. I’m sorry to tell you that he died today.
“He was doing what he liked most, a show at Mad Cool. We are torn apart.”
Mr Aunion Monroy was a highly experienced and well-respected dancer.
His Facebook account said he was director of In Fact, an aerial dance theatre company, and he also worked as a massage therapist in Brighton.