Loki tells Thor that Odin is dead in the 2011 film Thor.
The scene occurs after Thor has been banished to Earth and is being held by S.H.I.E.L.D. Loki appears to him and claims that Odin died after entering the Odinsleep, adding that Frigga does not want Thor to return to Asgard. Loki also says that he has accepted the burden of ruling in Thor's absence.
The crucial detail is that Loki is misleading his brother. Odin is not actually dead at that point; he is in a deep, restorative sleep brought on by the strain of recent events. Loki uses the apparent death to make Thor believe that returning to Asgard is impossible and that the royal succession has moved on.
This moment reveals Loki's increasingly manipulative behavior and helps explain why he can present himself as both a grieving son and Asgard's responsible new ruler. It is also easy to confuse this scene with later events in the Marvel Cinematic Universe, where Odin genuinely dies in Thor: Ragnarok. In the first Thor film, Loki is the character who delivers the false report.