A senior police officer told The Star newspaper that the shooting was being treated as a case of mistaken identity.
Pakistan Prime Minister Shehbaz Sharif said on Twitter that he had spoken by phone to Kenyan President William Ruto about the incident.
Former prime minister Imran Khan condemned the death and said Sharif had been murdered for his journalistic work.
“We're deeply saddened by the death of Arshad Sharif.
We encourage a full investigation by the government of Kenya into his death," U.S. State Department spokesperson Ned Price told reporters.