Laredo died in her sleep at home on May 25, 2005, of ovarian cancer, a diagnosis made four years earlier, but which did not stop her from giving concerts. She is buried in Kensico Cemetery, Valhalla, New York, a few meters from the grave of Sergei Rachmaninoff, who was so important to her life. At the funeral on May 31, 2005, two of her closest colleagues performed: Wei Gang Li from the Shanghai Quartet, and Courtenay Budd, with whom – along with the St. Petersburg String Quartet – she had given her last “Concert with Commentary” on May 6, 2005.