The musical brothers - Jackie, Jermaine, Marlon and Tito - were speaking out to promote their new reality TV show, The Jacksons: A Family Dynasty.
"Michael Jackson is always with us in our hearts," said Jackie.
"We were in the middle of production, but Michael would want us to continue on because he had an integral role. There's not a day we don't think of him - he was with us all the way."
The first episode of the series, airing on Sunday February 7, sees them dealing with the sudden death of the King of Pop last June.
"The cameras were shadowing us so we needed to take time to mourn Michael - we can't overlook our brother's passing," said Marlon. "The brothers mount differently in their own private way. We're still mourning today, but we learn to live with it."
Tito added: "No matter what, there's an emptiness constantly."
:: The Jacksons: A Family Dynasty premieres on Bio (Sky channel 156) on Sunday February 7 at 9pm.