The ministry said it was not in a position to confirm how the accident occurred but Le Figaro newspaper reported Collins and his wife, Alana Madill, died in a collision with a bus on the A9 motorway in Herault, southern France.
The couple’s three-month-old daughter was taken to hospital in serious condition, according to the report.
The ministry said New Zealand’s embassy in Paris was in contact with local authorities and consular assistance would be provided to relatives.
The 34-year-old, who played 48 tests for the All Blacks and captained them three times, was playing for Narbonne in France’s second division.
Wellington Hurricanes, his former team in New Zealand, said they would hold a minute’s silence before their game against the Otago Highlanders in Napier later on Friday, with the players to wear black armbands as a mark of respect.
“We are shocked and saddened to hear the news of Jerry and his wife Alana passing,” Hurricanes Chief Executive James Te Puni said in a statement.
“Obviously Jerry was a special part of both the Hurricanes and Wellington Lions over the years.
“He was an extraordinary leader and player, and our thoughts and prayers go out to his family at this time.”
Known for his hard-edged, abrasive style and crunching tackles, Collins was widely considered one of the most intimidating players to ever play for the All Blacks.
A former rubbish collector, Collins captained his club side as an 18-year-old and made his provincial debut for Wellington in 2000, though he did not play for the Hurricanes until 2001 due to a broken leg.
He also made the All Blacks that year aged 20 and went on to play 48 times for the national side, including at the 2003 and 2007 World Cups.
He left New Zealand in 2008 for playing stints in Wales, France and Japan.
(Editing by Peter Rutherford)