Trinity Lexington Police say Gay was shot in the neck during a shootout of two cars in a parking area restaurant. He was taken to hospital but died there.
Gay, a native of Lexington, confirmed the death of his daughter in a local television Lex 18.
"He can not pass. I am very confused. He had arrived here last week for a fall getaway. It's really crazy. I do not know what really happened," Gay said as quoted Lex18.
Police started an investigation in the murder case of a shootout, which occurred at around 04:00 am local time (15:00 GMT) outside the restaurant The Cook Out in the city of Lexington.
Witnesses said the firefight involving passengers in two cars, a Dodge Charger gray color and a dark color sports car.
The police have found the car Dodge Charger and detained two people for questioning, but still looking for the other car.
His career was stained after he tested positive for steroids in 2013, and had to forfeit a silver medal from the 2012 London Games. But his daughter vowed to make up for it with her own honors.
“When her dad got disqualified, her text to him was, ‘Daddy, it’s OK, I’m gonna get the gold for you,” her grandmother Daisy Lowe told The News.
“There was no doubt in our minds that was going to happen,” Lowe said. “Not only did we get cheated, the world got cheated.”
Trinity came in fourth in last year’s girls 100-meters state championship, where she competed against older runners.
Lowe said Trinity visited her father in Florida just last week, on her fall break.
Tyson Gay rushed from his suburban Orlando home to Lexington after hearing the heartbreaking news.
“She didn’t make it,” he told WLEX soon after her death. “It’s so crazy. I have no idea what happened.”
His daughter’s death sparked an online outcry that was fit for an all-star athlete.
“Sending our thoughts & prayers to @TysonLGay & his loved ones as they mourn the tragic & senseless loss of his daughter, Trinity,” USA Track & Field tweeted.
“Heavy heart today for Tyson Gay and his family,” Olympic hurdler Lolo Jones wrote.
Trinity’s coach, Crystal Washington, remembered her as a popular girl and good student.
“The kids were really close with her,” Washington told the Lexington Herald-Leader. “We’ve got to do something.”
“Our hearts are broken this morning over the loss of Trinity to this tragic and senseless act of violence,” Fayette County Superintendent Manny Caulk said in a statement.