The organizers said in a statement they had chose to continue with the music program for "security reasons" and offered their condolences to the man's family.
In a tragic final Facebook post, written on Thursday, he posted a picture of him with his British boyfriend, writing: "I can't wait to see my lovely boyfriend".
His sister confirmed his death online, writing: "To all the friends of my brother Pedro Aunion Monroy".
Spaniard Pedro Aunion Monroy, 42, was performing in a suspended cage at the Mad Cool festival in Madrid shortly before Green Day were to take the stage on Friday night (7 July). "A very courageous artist named Pedro lost his life tonight in a tragic accident", the band tweeted early Saturday.
"Our thoughts and prayers go out to his family and friends". I'm sorry to tell you that he died today.
The organizers of the Mad Cool Festival said they were "saddened by the bad accident", but gave no explanation as to how it had happened.
Islamic State militants mount diversionary attack south of Mosul
Smoke billowed above Mosul , which was battered by air strikes and artillery fire. "It's a matter of hours", she said. Mosul is the largest city seized by Isis and is where the Islamic extremists declared their caliphate.
"We just got off stage at Mad Cool Festival to disturbing news. We are torn apart".
Mr Aunion Monroy was a highly experienced and well-respected dancer.
"We offer our honest condolences to the dead man's family".
He had been living in the United Kingdom with his British partner working as director of performing arts company In Fact based in Brighton, Porstlade. "Our thoughts go out to those affected", it read.
"Tomorrow Saturday 8, during the festival, we will render a heartfelt tribute to the artist".
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