Brigadier (rtd) Moses Yator, 64, was gunned down on Saturday night a few metres from his home near the Kitale prison.
Mr Yator was in the company of his wife, Esther Nandutu. They were returning home from the club when three assailants accosted them and shot Yator.
The killers stopped the couple at gunpoint and ordered Yator out of the vehicle. They shot him in the chest.
According to information from a close family member, Yator tried to negotiate with his killers to spare his life.
They made away with Yator's phone and a wallet containing Sh25,000. They warned his wife that they would kill her if she tried to raise the alarm.
The killers escaped on a motorcycle. They also took away Yator's car keys.
Ms Nandutu said the gang dragged her husband's body in front of the vehicle's headlights and ordered her lie on it.
County Commander Samson ole Kine said investigations had started to establish the motive of the killing.
“Detectives are working round the clock to establish the motive of the killing,” said Mr Kine.
Yator had been the chairman of the club for the past three years.
Former Cabinet minister Noah Wekesa and several members of Kitale Club visited the home to condole with the family.
“We are shocked about the killing. We do not know whether it is a normal robbery or planned. Let police work hard to find out the truth in this killing,” said Dr Wekesa.
Kiminini MP Chris Wamalwa mourned Yator and asked police to bring his killers to book.
“It is unfortunate that we have lost a very important leader to crime. We want police to ensure the killers are brought to book,” Dr Wamalwa said.
At Kitale Club, staff and members recounted their last moments with Yator.
“He was joyful. After we finished playing golf we sat together for drinks until we departed at around 10pm,” said Fred Oloibe, one of Yator's friends.
“The chairman looked happy when I served him drinks,” said Fred Ng'etich, a waiter at the club.
According to Mr Ng'etich, Yator left the club at 10.30pm with his wife after they had dinner at the club's restaurant.