He was 82. He is survived by a son and two daughters.
He breathed his last at a private hospital late last night, the sources said.
Born in 1936, Sahay began his career with the Indian Police Service and rose to the position of the DGP of Bihar.
After retirement, he had joined the Samata Party and became the first Governor of Chhattisgarh after the state was carved out of Madhya Pradesh in 2000.
In 2003, Sahay took over as the Governor of Tripura and held the post till 2009.
Kumar also visited Sahay's residence here and consoled the bereaved family members.