Using a sharp knife or peeler, carefully remove the zest from 1 orange and 1 grapefruit, avoiding the underlying white membrane. Thinly slice the zest.
Remove and discard the white membrane from the zested orange and grapefruit and also remove the peel and membrane from the remaining orange and grapefruit. Coarsely chop the fruit.
In a food processor, blitz the fruit and then pass them the mixture through a fine mesh strainer placed over a bowl, pressing down with the back of a spoonn to extract as much juice as possible. Discard the pulp. (Alternatively, you can use a juicer.)
In a large saucepan over medium heat, combine the juice and add the zest and water. Cover and bring to a boil. Uncover, reduce the heat to low, and simmer for 2 hours.
Add the sugar and Campari and stir until the sugar dissolves. Let the mixture continue to gently boil, stirring frequently, until the marmalade is slightly thickened, 45 to 60 minutes. To test if the marmalade is ready, drop a spoonful of marmalade onto a cold plate. Run your finger or the edge of the spoon through the marmalade. If the space stays visible, the marmalade is ready. If not, keep boiling, stirring occasionally, for another 5 to 6 minutes and test again.
When the marmalade is done, remove the saucepan from the heat and let it cool for 5 to 8 minutes before discarding any scum or foam visible on the surface.
Sterilize 3 pint or 6 half-pint jars and lids and prepare a water bath canner. Ladle the marmalade into the sterilized jars, if desired using a funnel or creating a cone from parchment paper, and hot water process. Keep the sealed jars at room temperature for up to several months.