The rock arch featured in films and the popular Game of Thrones television series, and was also notorious for tourists' cliff-jumping into the clear blue waters below.
Maltese Prime Minister Joseph Muscat tweeted of the "heartbreaking" loss of one of Gozo's main tourist attractions.
Mr Muscat said in a tweet that the famous Mediterranean landmark had always faced destruction because of natural corrosion.
"That sad day has arrived," he wrote.
Geologist Peter Gatt said the limestone pillar supporting the arch gave way. He attributed the collapse to years of erosion by both under-and over-ground sea swells.
Gozo resident Roger Chessell went to the coastline in the morning to take pictures.
"There was a big raging sea beneath the Azure Window," he told the Times of Malta newspaper.
"Suddenly, the arch collapsed into the sea with a loud 'whoomph', throwing up a huge spray."
The window also served as a backdrop in the 1981 movie Clash of the Titans.
With parts of the rock formation crumbling over the years, the Government last month implemented a $US2,300 fine in an attempt to prohibit people from walking across the arch.