diff --git a/demo/c-api/external-memory/external_memory.c b/demo/c-api/external-memory/external_memory.c
index acafb51f8237..2718e8b6990e 100644
--- a/demo/c-api/external-memory/external_memory.c
+++ b/demo/c-api/external-memory/external_memory.c
@@ -98,6 +98,7 @@ void DataIterator_Free(DataIter *self) {
   }
   free(self->data);
   free(self->lengths);
+  free(self->labels);
   safe_xgboost(XGDMatrixFree(self->_proxy));
 };