Jose Roberto Cordeiro de Oliveira passed away at the age of 62 after falling ill and suffering a heart attack.
The news was reported by Brazilian outlet UOL with Firmino's representatives since confirming the news to them.
He was pictured earlier this week with family members at an amusement park.
Family members are now in contact with the Brazilian embassy in the UAE as they look to bring the 62-year-old's body back to South America.
Firmino clearly thought highly of his father, writing a hugely complimentary section about him in his book, 'Si Senor - My Liverpool Years'.
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He wrote: "Not all heroes wear capes; some are called father.
"My father, José, was my childhood hero, an inspiration and an example.
"A generous, serious, honest man and dedicated to his family."
Firmino is next set to be in action on Saturday when Al-Ahli face Al-Shabab in the Saudi Pro League.