Fabrizio Piscitelli, known as 'Diabolik', was ambushed at Acqueducs, not far from Cinecitta, in the suburbs of Rome.
Media reports claimed that Piscitelli had recently been the subject of a drugs investigation and that his murder was linked to rivals keen to settle scores.
His attacker reportedly approached him from behind and shot him in the left side of his head.
'Diabolik' led the so-called Irriducibili – Lazio's hardcore 'ultra' supporters, seen as a far-right group, notorious for their anti-Semitic gestures, Celtic crosses, monkey chants and fascist salutes.
In August 2018, the Lazio Ultras tried to ban women from sitting in the front rows of the stadium.
Lazio Ultras have been accused of anti-Semitism targeting fans of bitter rivals Roma, who share the same stadium.
The club was fined €50,000 last year after supporters displayed stickers showing Holocaust victim Anne Frank in a Roma shirt along with anti-Semitic messages.