On Sunday, the band dedicated Live Forever to everyone "who can't be here".
Liam Gallagher told fans: "This one's for all the people who can't be here tonight, but who are here if you know what I mean, and aren't they looking lovely. Live Forever."
The band began the Oasis Live '25 reunion tour in July. Saturday's concert was part of seven sold-out reunion concerts at Wembley Stadium, which has a 90,000-person capacity across three tiers.
Noel and Liam Gallagher are marking the end of an almost 16-year split with their tour.
Wembley Stadium said in a statement that medics, police and the London Ambulance service had attended to the injured man.
"Despite their efforts, the fan very sadly died. Our thoughts go out to his family, who have been informed and are being supported by specially trained police officers," it said.
The band will next appear in Edinburgh for three gigs on 8, 9 and 12 August and then take their tour to Ireland, Canada, the US and Mexico before returning to Wembley on 27 and 28 September.