"Myself and playing partners Adam (Gee) and Tano (Goya) met tournament officials and spoke to (European Tour chief executive) George O'Grady on the phone before taking the decision to play on, because we felt that was what Mac would have wanted.
"He was a guy I've known for 15 years and was very popular amongst the caddies. Obviously my thoughts go out to his family at this time. For something like this to happen so suddenly is so sad.
"He's was far too young for this to happen. He was the life and soul of the caddies' lounge and a nice guy who will be sorely missed. I'm absolutely numb."
The decision to finish the event was criticised by a number of players, including Sweden's Joel Sjoholm who had previously worked with McGregor.
"Can't believe that they are sending out players to finish the 2nd and final round when someone just died on the course!!!," Sjoholm, who missed the 18-hole cut in Madeira, wrote on Twitter. "R.I.P my dear Mac! Way too young! This going to be a tough evening!"
Spain's Gonzalo Fernandez-Castano wrote: "Really sad news from Madeira. We are going to miss you Mac. One of the nicest guys on Tour. #RIPIainMcgregor."
And in reply to a post saying it was "a pity" the tournament had continued, Fernandez-Castano added. "I can't agree more #shame."
A statement from the European Tour read: "It is with great sadness and deep regret that we report the untimely passing of caddie Iain McGregor during play on the final day of the Madeira Islands Open - Portugal - BPI.
"Everyone at The European Tour extends our deepest sympathies to the friends and family of Iain at this time. Following consultation with the players and caddies involved, however, it has been decided that play should continue and the tournament should finish.
"A minute's silence has taken place at the clubhouse and play resumed at 6pm local time. All administration will be taken care of by The European Tour and we will help in any way possible."
The European Tour's 1,500th tournament had been reduced to 36 holes due to numerous lengthy delays caused by fog, with Brooks and Henry eventually finishing tied on nine under par.
Henry birdied the last three holes to force a play-off but then three-putted the first extra hole, the 18th, as Brooks secured the title with a par.