Vitaly Tretyakov, a Public Chamber member and chief editor of Moskovskie Novosti newspaper, said the murder was connected with Politkovskaya's professional activities.
"It's clear that the first and only version everyone can think about is the one connected with professional activity," he said, adding that Politkovskaya wrote articles on North Caucasus problems, including Chechnya.
Prosecutors said an unknown person clad in black opened fire on Politkovskaya at 17.15 Moscow time (1:15 p.m. GMT).
The chief prosecutor of Moscow, Yury Syomin, and Deputy Prosecutor General Viktor Grin have left for the crime scene.
An investigation is underway.