Antonio Perkins, 28, was found face down on Wednesday night in a vacant lot with gunshot wounds to the neck and head on the city's west side, Chicago police officer Laura Amezaga said.
He was taken to hospital where he was pronounced dead, Reuters reports.
Police said that Perkins was a documented gang member. No arrested have been made.
The Facebook Live video is still available on the social networking site, with a user warning massage about its graphic content.
The footage appears to show Perkins recording himself and a group of people in front of a row of homes before someone opened fire.
The phone appears to tumble through bloody grass before going black. The audio continues with bystanders screaming and crying.
A spokeswoman from Facebook acknowledged the video posting, saying it does not violate company policy.
The social media site will remove a video if it celebrates or glorifies violence, she said.
In Fields's video gunshots can be heard as the phone is dropped.
The device is still recording as it lies on the ground and images of a man holding what appears to be a gun are then caught on camera.
The victim is believed to have suffered gunshot wounds to the face and groin.
Facebook's Live feature allows anyone to broadcast a video in real time.
There is a growing challenge for companies such as Facebook, Twitter and Google who provide live video streaming to millions of people globally.
Chicago, the third-largest US city, has drawn attention due to its gun violence, which police have blamed largely on gang violence and a proliferation of stolen guns.
There were nearly 500 homicides last year, and gun violence is up in 2016, police say.
In France, a 25-year-old man killed a French police commander and the commander's partner on Tuesday, then he took to Facebook Live with a 12-minute video encouraging followers to kill prison staff, police officials, journalists and lawmakers.