Sokratis Giolias, 37, died from multiple shot wounds in the early hours of Monday morning, according to the Associated Press.
He is reported to have been shot by two or three gunmen in the capital's eastern neighbourhood of Ilioupoli.
Bullet casings found at the scene are a match to two nine-millimetre handguns used by the Greek terrorist organisation Sect of Revolutionaries, according to police.
The organisation formed after police fatally shot a teenage boy in December 2008 and the group have since vowed to carry out attacks against police and press, who they accuse of misleading public opinion.
Giolias was the head of news at radio station Therma 98.9 and wrote for the online news blog Troktiko.
"Somebody wanted to silence a very good investigative reporter who had stepped on a lot of toes with his stories," Panos Sobolos, president of the Athens Journalists Union said in a report by Reuters.
This is the first time a journalist has been killed in Greece since the mid-1980s, when left-wing guerilla group November 17, assassinated a Conservative newspaper publisher, the report added.
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