Lo was one of the most successful Jiu Jitsu athletes of all time, having won the World Championships eight times.
Witnesses said Lo and his friends were approached by a man in a threatening manner, Lo immobilised the man, but after he let him go, the man shot Lo.
The suspect fled the scene but has since handed himself in to police.
An investigation for attempted murder has been opened.
A friend of Lo who was with him at the time, said a lone man approached their table, took a bottle from it and waved it around in a menacing way.
Lo had pinned the man to the ground to “calm him down”. But after he let him go, the man shot Lo in the head, the unnamed friend told Brazilian news site G1.
A lawyer for the Lo family, Ivan Siqueira Junior, said Lo and his friends had tried to prevent the incident from escalating.
According to Mr Siqueira, the suspect kicked Lo twice while the latter was already lying on the ground with a gunshot wound to his head.
Lo was rushed to hospital, where he was declared brain dead. His family said his condition was irreversible.
The 33-year-old won the World Championships eight times in five different weight classes, an all time record.
The International Brazilian Jiu-Jitsu Federation called him “one of the greatest athletes our sport has ever produced”.
“An example of a true black belt, martial artist and champion on and off the mats,” the federation tweeted.