He was in Italy at the time.
HBO has issued a statement:
We’re all in shock and feeling immeasurable sadness at the loss of a beloved member of our family. He was special man, a great talent, but more importantly a gentle and loving person who treated everyone no matter their title or position with equal respect. He touched so many of us over the years with his humor, his warmth and his humility. Our hearts go out to his wife and children during this terrible time. He will be deeply missed by all of us.
From an obituary at Comic Book Resources blog:
While he may be most recognizable as Tony Soprano by fans, Gandolfini had a number of different roles in Hollywood, including “True Romance,” “Terminal Velocity,” “Get Shorty,” “The Juror,” “The Taking of Pelham 123″ and more. Early in his career during 1992, he appeared in a Broadway production of “On the Waterfront.” He most recently was set to appear in “Animal Rescue” alongside Tom Hardy and Noomi Rapace, which is slated for a 2014 release.In Vanity Fair, Gandolfini's thoughts on acting, The Sopranos, and family.
Behind the camera, Gandolfini produced two documentaries with HBO: “Alive Day: Home from Iraq,” which focused on injured Iraq War veterans and the physical and emotional toll of reintegrating back into society; and “Wartorn: 1861-2010,” which explored and allayed the effects of post-traumatic stress disorder through American history. He also produced “Hemingway & Gelhorn,” the HBO miniseries about author Ernest Hemingway and the writer’s relationship with Martha Gelhorn. Gandolfini was a huge supporter of The Octoberwoman Foundation for Breast Cancer Research in his hometown of Park Ridge, and appeared often in the foundation’s annual October banquet.
Gandolfini is survived by his wife, Deborah Lin, and his son Michael.