The 48-year-old mother of two was found shot dead in a lift at her apartment block in the capital. A pistol and four bullets were found near her body and a murder investigation has been launched.
Ms Politkovskaya's murder has all the hallmarks of a contract killing, says the BBC's Emma Simpson in Moscow.
The award-winning journalist became ill with food poisoning on her way to report on the Beslan school siege in 2004, which some believed to be an attempt on her life.
'Brave defender' Ms Politkovskaya, who worked for the newspaper Novaya Gazeta, was known for exposing rights abuses by Russian troops in Chechnya. She also acted as a negotiator with the Chechen rebels who held a siege in a Moscow theatre in 2002.
The head of Russia's journalism union described her as the conscience of the country's journalism. She was one of the few remaining high-profile, independent journalists in Russia - and her death will cause widespread anger and shock, says our Moscow correspondent.
"Russia has lost a brave and dedicated human rights defender," said Nicola Duckworth from the rights group Amnesty International.
Ms Politkovskaya "spoke out fearlessly against violence and injustice, and campaigned tirelessly to see justice done".
Amnesty International has called for a thorough investigation into the killing but Russian political analyst Anna Zelkina is doubtful there will be results.
"There is this series of politically motivated murders like hers," she told the BBC.
"I'm afraid that there will be less and less people who would be taking the risk to report... [she's] a very difficult person to replace."
A couple of comments from readers on this piece of news:
I am in absolute shock. Anna was an extraordinary person of an unmatched integrity and drive. Being born Russian, I love Russia with all my heart. This news of a cold blood murder makes me so angry. Can this great country be ever free? Such loss, such emptiness. Arina Kurchina, UK
I'm always amazed by the bravery of journalist who carry on reporting the truth despite threats and intimidation. It saddens me that she isn't the first, and won't be the last, journalist to die for her integrity. For her families sake, as well as the sake of truth, I hope there is a full and fair investigation into her death. Katherine, London
I'm totally gutted to hear this news. She was part of a great tradition of courageous war reporting and investigative journalism who have never been afraid to put their lives on the line in pursuit of the truth. Russia's war in Chechnya is the dirtiest of wars and Russian politics is equally dirty these days. I fear that nothing will change for a long, long, time. Harvey Burgess, US