Like this: audio only https://www.youtube.com/watch?v=w6GgXa23yLo [note that some of the thumbnails for video suggestions at the end may be NSFW] It's in German, and it's supposed to be the actual message, broadcast by Karl Donitz, Hitler's appointed successor who was sent away from the bunker and Berlin several weeks earlier, on Nazi controlled radio stations (the few they had left) on 30 April, 1945 at approximately 9:30 pm. [source, "Daily Mail" newspaper, 2 May, 1945] A translation is included in the comments of the YouTube video. The fact that it was a suicide was not immediately released. It was said that he died a hero (something akin to a captain going down with his ship, someone remarked).
Radio and press in Nazi Germany was of course almost completely Goebbels' propaganda, and it was against the law to listen to foreign broadcasts, even though all radios were capable of picking up the signals. The BBC therefore dedicated an entire service and broadcast teams to send news and music to occupied areas, Italy, France, and Germany, These broadcasts often contained codes for government agents, operators, and resistance groups affiliated to each other in France and other places behind the lines.
As a side note, German radio was the first to broadcast information about the D Day invasion, at least 2 hours before Allied Command did, and their reports were mostly factual. Any discrepancies to the actual events could be explained the same way they are now. They had incomplete information as the French Resistance was very capable of disrupting communications in the area around Normandy. CBS and NBC radio found out about it from staff in London who were monitoring Berlin's English programming.
Nazi radio had a tradition of playing Wagner when Hitler was going to speak, there was usually a few moments of silence, some Wagner again, often followed by a rereading of the speech. This announcement of his death was followed by the German National Anthem, and was repeated throughout the night.
edit: added time of broadcast
Wasn't the war pretty much over by the time he died? Would they have any real chance to make such an announcement?