Lomu passed away unexpectedly in the early hours of Wednesday, NZ Rugby chief executive Steve Tew confirmed.
'We're all shocked and deeply saddened at the sudden death of Jonah Lomu,' Tew said.
'We're lost for words and our heartfelt sympathies go out to Jonah's family. Jonah was a legend of our game and loved by his many fans both here and around the world.'
Lomu arrived back in Auckland on Tuesday night from England - where he had been working at the Rugby World Cup - and had spent a few days in Dubai on the way home with his family.
On Wednesday afternoon his wife Nadene Lomu issued a statement describing the family's 'devastating loss'.
New Zealand All Blacks star Jonah Lomu has passed away at the age of 40