Rotterdam Police spokeswoman Patricia Wessels said police were called to a home in the port city in the early hours of the morning and found the 24-year-old Dutch player bleeding from a stab wound.
The officers and ambulance paramedics were unable to resuscitate Halman.
Wessels said the officers arrested Halman's 22-year-old brother. She declined to give his name, in line with Dutch privacy rules.
"He is under arrest and right now he is being questioned," Wessels told The Associated Press in a telephone interview. "It will take some time to figure out what exactly happened."
No charges have been filed in the case.
Halman hit .230 in 35 games and made starts at all three outfield positions for the Mariners in 2011 before being optioned to Triple-A Tacoma.
Because he played professionally in the United States, Halman was not part of the Netherlands team that won the Baseball World Cup in Panama last month. The Dutch beat Cuba 2-1 in the final to become the first European team to win the title.
Born in the city of Haarlem, Halman played in the Dutch Pro League and was part of the gold medal winning Dutch squad at the 2007 European Championship.