Tom Clements was shot at about 8:30 p.m. when he answered the door at his house in Monument, just north of Colorado Springs, according to El Paso County Sheriff's Lt. Jeff Kramer.
Kramer says a family member called 911 to report the shooting. No one else in the home was hurt.
Investigators do not have a description of the shooter, but began searching the area Tuesday night.
Clements was appointed Chief of DOC in 2011 by Governor John Hickenlooper after serving over three decades in the Missouri Department of Corrections. Hickenlooper said that Clements always saw the "good" in things, and was focused on prison safety and programs that helped inmates become successful in prison and when they were released.
The AP reported that in a statement released early today and sent to department employees, Hickenlooper said he was in disbelief over the killing.
"As your executive director, he helped change and improve (the department) in two years more than most people could do in eight years. He was unfailingly kind and thoughtful, and sought the 'good' in any situation. I am so sad. I have never worked with a better person than Tom, and I can't imagine our team without him," he said.
No evidence points to one particular suspect, but investigators did say that the Department of Corrections was cooperating and answering questions to help determine if foul play was related to his position with the department.