Klebnikov, an American journalist of Russian descent, was shot four times at about 10 p.m. local time. There were conflicting initial reports as to whether he died at a hospital or in an ambulance en route. Moscow police opened an investigation into the murder, according to the state news agency RIA-Novosti.
"We are shocked by the murder of Paul Klebnikov and our thoughts are with his family and colleagues," CPJ Executive Director Ann Cooper said. "Russia is consistently one of the world's most dangerous places to be a journalists and we call on the Russian authorities to aggressively investigate and prosecute this case."
No motive in Klebnikov's slaying was immediately determined, but CPJ has documented 14 earlier cases in which journalists in Russia were killed in connection with their work since 2000. In none of the cases has a killer been brought to justice.
"This shameful record of impunity is one of reasons these murders continue to happen," Cooper said. "It sends a chilling message to Russian journalists and a terrible message to the rest of the world about the Kremlin's indifference to press freedom."
Forbes attracted significant attention in May when it published a list of Russia's wealthiest people and reported that Moscow had 33 billionaires, more than any other city in the world.
Publication of the list focused attention on Russia's billionaires, many of whom are trying to keep a low profile as President Vladimir Putin uses the country's courts, prosecutors, and security services to rein in Russian oligarchs and strengthen the state's role in the economy.
Forbes launched the Russian language edition in April, The Associated Press reported.
Klebnikov's book, "Godfather of the Kremlin: Boris Berezovsky and the Looting of Russia," was published in August 2001 outlining the rise of one of the country's most powerful oligarchs.
Last year, in response to the earlier slayings, CPJ issued letters of concern to both Putin and U.S. President George Bush. They are available at: