We study the gravitational collapse of a magnetized neutron star using a novel numerical approach able to capture both the dynamics of the star and the behavior of the surrounding plasma. In this approach, a fully general relativistic magnetohydrodynamics implementation models the collapse of the star and provides appropriate boundary conditions to a force-free model which describes the stellar exterior. We validate this strategy by comparing with known results for the rotating monopole and aligned rotator solutions and then apply it to study both rotating and non-rotating stellar collapse scenarios, and contrast the behavior with what is obtained when employing the electrovacuum approximation outside the star. The non-rotating electrovacuum collapse is shown to agree qualitatively with a Newtonian model of the electromagnetic field outside a collapsing star. We illustrate and discuss a fundamental difference between the force-free and electrovacuum solutions, involving the appearance of large zones of electric-dominated field in the vacuum case. This provides a clear demonstration of how dissipative singularities appear generically in the non-linear time-evolution of force-free fluids. In both the rotating and non-rotating cases, our simulations indicate that the collapse induces a strong electromagnetic transient. In the case of sub-millisecond rotation, the magnetic field experiences strong winding and the transient carries much more energy. This result has important implications for models of gamma-ray bursts.