After getting information about the crime at 10.45 p.m. on Thursday, PCR, local police, crime team, Forensic Science Laboratory (FSL) team and Deputy Commissioner of Police (South) Ankit Chauhan rushed to the spot.
The deceased was identified as Nadir Ahmed Shah who used to run the gym in partnership.
The cause of the crime is yet to be ascertained.
The gym owner, who suffered five bullet wounds, was rushed to Max Hospital where he was declared brought dead.
Resident Welfare Association President Rajendra Sharda said that two assailants riding on a scooty opened indiscriminate firing on Shah when he was returning home after closing the gym for the day.
The accused had fired over a dozen rounds at the victim.
Shah, an Afghan-origin man who lived in CR Park, opened the gym nearly six months ago, Sharda said.
Police have formed five teams to probe the murder and are reviewing the CCTV footage.
According to DCP Ankit Chauhan, the case will be solved soon with the help of technical surveillance and CCTV footage.
Sources said Shah was a police informer and knew senior officials in the Delhi Police.
As per some unverified social media posts, Rohit Godara, a close accomplice of Goldy Brar of the Lawrence Bishnoi gang, has taken responsibility for the crime.
Godara said he ordered the killing of Shah after his aide Samir Baba, who is jailed at Tihar, texted him that Shah was obstructing their business deals.
"If anyone else should dare to do the same, they will meet the same fate," the post read.