This paper presents a numerical approach for the design sensitivity analysis of modal frequencies of elastic structures submerged in an unbounded heavy fluid domain. Because the feedback of sound pressure onto the fluid‐loaded structures has to be taken into account in this case, a fully coupled scheme which combines the structural finite element method (FEM) and the acoustic boundary element method (BEM) is employed in the numerical simulation. The resulting nonlinear eigenvalue problem created by the coupled finite element and boundary element (FE‐BE) method is converted into a generalized eigenvalue problem (GEP) of reduced dimension by using a contour integral method. The design sensitivity formulation for non‐repeated eigenvalues is derived based on an adjoint method which uses both the left and right eigenvectors, and a small GEP is formed to calculate the gradients of repeated eigenvalues. The Burton‐Miller formulation is employed to shift the fictitious eigenfrequencies and their derivatives, and the parameter setting which is beneficial to the filtering of fictitious eigenfrequencies is investigated. Numerical examples are given to verify the accuracy and effectiveness of the developed method.