Karnataka police chief R K Dutta said Lankesh was shot dead by unidentified assailants at the entrance of her residence in Raj Rajeshwari Nagar.
She took more than one bullet and died instantaneously.
Lankesh, said to be in her 50s, edited a Kannada tabloid 'Lankesh Patrike' besides owning some other publications, and was known for her forthright views against hardline Hindutva politics.
Quoting police, Chief Minister Siddaramaiah said the journalist was shot dead by unidentified assailants soon after she had alighted from her car.
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The chief minister said three police teams have been constituted to probe the killing. Instructions have been issued to crack the case and bring the culprits to book at the earliest, he said.
Siddaramaiah also said he has asked police to get in touch with their Maharashtra counterparts probing the murder of rationalist Narendra Dabholkar.
Parallels were being drawn between the gunning down of Lankesh and rationalists Narendra Dabholkar and M M Kalburgi, allegedly by fringe Hindu groups. Dabholkar was shot dead in August 2013, while Kalburgi was gunned down in August 2015.
Senior police officials, including Deputy Commissioner of Police (West) M N Anucheth, rushed to the spot to supervise investigation.
Dutta said Lankesh had not voiced apprehension about any threat to her life during a couple of meetings he had with her.
Asked about who could be the possible suspects in the killing, the officer refused to hazard any guess, saying "let the investigation proceed first."
Home Minister Ramalinga Reddy said it would be premature to say who could be behind the killing.
"It will not be appropriate for me to make any comments as to who is behind the incident. It could be for personal reasons or for ideological reasons," he said.
Lankesh was convicted in a defamation case filed by BJP MP Prahlad Joshi over a report published in her tabloid against some saffron party leaders.
Minister of State for Information and Broadcasting Rajyavardhan Rathore took to twitter to denounce the incident.
"Terrible news from Bengaluru about the heinous murder of Gauri Lankesh. I condemn all acts of violence against journalists," he said.
Congress vice president Rahul Gandhi said "truth cannot be silenced" and demanded that the culprits be tracked down and punished.
BJP national general secretary P Muralidhar Rao said, "The murder of #GauriLankesh is condemnable outright. Onus is on Sh.Siddaramaiah to ensure proper investigation."
"If it is BJP ruled state, Liberals would have cried for emergency, Intolerance, Fascism," tweeted National Conference leader and former Jammu and Kashmir chief minister Omar Abdullah.