Sanjay Patel, who worked as a clerk at the gas station in New Haven, was shot three times in the chest and once in the hand by two masked men on Monday night.
A report in NBC Connecticut said Mr Patel was taken to the Yale-New Haven Hospital where he died an hour later.
Police said they were searching for the two men as the investigation continued.
Mr Patel’s wife was pregnant with their first child.
The report quoted New Haven Police as saying that a gunfire broke out at the gas station around 7:30 pm local time during the apparent robbery.
Gas station-owner Raj Ali told NBC that the robbers took Mr Patel’s life “for a couple hundred dollars. It’s not worth it. It’s bad.”
Witnesses said they saw two masked men running from the scene after the incident.
“We are looking for two people that may be involved,” said New Haven police spokesman Officer David Hartman.
“We don’t necessarily believe that two were firing guns. We know at least one was.”
Police said they don’t believe there were any customers inside the gas station store when the robbers walked in and will check surveillance video as part of the investigation.