Hefner died at the Playboy Mansion on Wednesday at the age of 91 due to natural causes.
Anderson said outside of family, Hefner was the "most important person" in her life, she wrote on the Instagram post.
Many other celebrities have also expressed their condolences and celebrated the long life of Hefner on social media. Anderson, however, had a particularly close relationship with him and wrote about her devastation in the lengthy Instagram post: "I will miss your everything."
"You gave me my life," Anderson went on, mentioning how supportive Hefner had been of her career and her children.
"Everything anyone loves about me is because you understood me. Accepted me and encouraged me to be myself," she wrote.
In the accompanying video, Anderson, with smudged makeup, cried and quietly said, "Goodbye Hef."
Anderson first appeared on the cover of Playboy in 1989, and most recently headlined what was then billed as the publication's final edition featured nude photos.
Here are some images of Hefner's life:
Hefner pictured amidst a group of Bunnies, at the flagship Playboy Club, in Chicago, circa 1960. (AAP) Source: AAP
Hefner looks over proof sheets for his magazine Playboy, in Chicago, Ill., on June 20, 1961 (AAP) Source: AAP
Hefner talks about his coming late night TV show, Playboys Playmate Party in 1977 (AAP) Source: AAP
Hefner poses with "bunny-girl" hostess Bonnie J. Halpin at Hefner's nightclub in Chicago in 1961 (AAP) Source: AAP
Hefner and his girlfriend Barbara Benton, 19-year-old co-ed turned actress, surrounded by Bunny Girls in 1969 (AAP) Source: AAP
Bunny Betsy, left, feeds Hugh Hefner a piece of congratulatory cake after he was awarded the 1,716th star in the Hollywood Walk Of Fame, 1980 Source: AAP
Hefner in 1986 with a group of Playboy bunnies at the Playboy Club (AAP) Source: AAP
1982: Hefner with a Playboy Magazine and Playboy video (AAP) Source: AAP
Hugh Hefner and some of his Playmates (AAP) Source: AAP
Hefner and former Playboy Playmate of the year and US Actress Pamela Anderson (L) in 2003 during the 50th anniversary of Playboy (AAP) Source: AAP
Hefner photographed at the entrance to his movie theatre at the Playboy Mansion in the Holmby Hills area of Los Angeles Friday, April 7, 2006 (AAP) Source: AAP
Hefner at his 80th birthday in 2006 (AAP) Source: AAP
Halloween party In this photo released by Playboy, from left, Kendra Wilkinson, Bridget Marquardt, Hefner, and Holly Madison in 2007 (AAP) Source: AAP
Bill Cosby, perennial host of the Playboy Jazz Festival, right, and Playboy impresario Hugh Hefner greet each other in 2008 (AAP) Source: AAP
Hefner at his home (aka Playboy Mansion) in Beverly Hills, Calif. on Sunday, Oct. 13, 2011 (AAP) Source: AAP
Kendra Wilkinson, Hugh Hefner, Holly Madison and Bridget Marquardt, from left, pose poolside at Hefner's Beverly Hills, Calif, estate (AAP) Source: AAP
Crystal Harris (left), Hugh Hefner and Cooper Hefner (right) during Playboy's 2013 Playmate Of The Year luncheon at The Playboy Mansion (AAP) Source: AAP
