Lord Percy died in Paris in December 1909, aged 38, from pleurisy caused by pneumonia. The Paris correspondent for The Times reported:
Lord Percy, who had arrived in Paris shortly before Christmas, contracted a chill a few days ago, which ultimately developed into an attack of pneumonia. He had rallied to some extent yesterday afternoon, and it was hoped that a change for the better had set in, but early this morning a fresh crisis took place, to which he succumbed.
His brother Lord William Percy and sister Lady Victoria Percy, who had traveled to Paris when they learned of their brother's condition, were with him when he died.[1]
However, as the wealthy Lord Percy had been staying at the cheap Hotel du Buffet-Nord at the Gare du Nord, under the name Mr. Percy, his sudden death resulted in a conspiracy theory that he had been mortally wounded in a duel.[6] A decade later, unfounded rumours circulated that he had been murdered on the orders of Winston Churchill, who was unpopular at the time because of his role as mastermind of the disastrous Gallipoli campaign during the First World War, when he served as First Lord of the Admiralty.[7]
Rumours alleged that Percy had been the lover of Clementine Hozier, whom Churchill married in 1908. Churchill's mild-mannered brother Jack was whispered to have been the unlikely perpetrator of this act,[8] because Winston was "too cowardly" to do the deed himself.[9]
Percy was unmarried. He died intestate and with property worth more than £210,000 (equivalent to £27,078,000 in 2023), which was left to the administration of his father.[10] His brother Alan became heir to their father in the dukedom.[1]