When the commander spotted the suspect, Superintendent Johnson said, "an armed physical confrontation ensued" and the commander was shot several times.
Noreen Janko said she was walking back to her office building across the street from the Thompson Center when she heard shots.
Chicago Police Superintendent Eddie Johnson (front) prepares to speak to the press outside Northwestern Memorial Hospital following the shooting death of Cmdr.
The incident began Tuesday afternoon when officers were on routine patrol in the city's central business district, and noticed an individual who was acting suspicious. He said a suspect was taken into custody and a gun recovered.
He was rushed to the hospital where he was pronounced dead a little later.
CTA said all buses and trains are running normal near and around the Thompson Center.
Chicago police Commander Paul Bauer was killed responding to a robbery in downtown Chicago on Thursday..
"Bauer stood for the highest ideals of our police department and our city - to serve and protect the people of Chicago", Emanuel said.
A description of the suspect was broadcast on police radio, and when Bauer, who was off-duty, saw the offender, he approached him. Gugliemi said on Twitter the officer was shot by "an assailant".
Chicago resident Noreen Janko witnessed the chaotic shooting. "It was just hysteria", she said.
"I ask the citizens of this city keep the Bauer family in their prayers", Johnson said, adding that he would meet with his wife and daughter.
The 53-year old Bauer became one of 22 of the department's district commanders in 2016.