A dipole resonance of 11Li is newly found by a 9Li + n + n three-body model analysis with the complex-scaling method. The resonance can be interpreted as a bound state in the 10Li + n system, that is, a Feshbach resonance in the 9Li + n + n system. As a characteristic feature of the Feshbach resonance of 11Li, the 10Li + n threshold is open above the 9Li + n + n one, which reflects a distinctive property of the Borromean system. A microscopic four-body reaction calculation for the 11Li(p,p) reaction at 6 MeV/nucleon is performed by taking into account the resonance and nonresonant continuum states of the three-body system. The angular distribution of the elastic and inelastic scattering as well as the breakup energy spectrum recently observed are reproduced well.