When emergency services arrived on the scene at 5:00 am local time (0300 GMT), the 26-year-old was injured in the abdomen and he later died in hospital, the fire service said.
A source close to the investigation said the gunman fled.
According to local radio, the victim was Christopher Aurier, who plays for French fifth-division team Toulouse Rodeo.
He came through the youth academy at Lens like his older brother, an Ivorian international and former Paris Saint-Germain full-back, but failed to break through at the highest level.