Clements, 58, was killed Tuesday night when he opened the front door at his home in Monument. In audio of a 911 emergency, Clements' wife Lisa can be heard telling a dispatcher the gunman shot her husband in the chest, The Denver Post reported.
Investigators had not identified a suspect as of Wednesday morning and were searching a wooded area near Clements' home. The area surrounding his home was blockaded and investigators were using dogs in their hunt for clues.
The El Paso County Sheriff's Office released a statement saying no suspect had been identified but "a vehicle of interest" -- described as a black or dark-colored late model, two-door, "boxy" style, possibly a 1990s model Lincoln -- was being sought.
A witness saw the vehicle with one person inside it about the time of the shooting, the statement said.
"We are sensitive to the high profile position in which Mr. Clements served and the fact there could be people who would target him based on his position," the sheriff's department said. "However, we remain open minded to all investigative possibilities and continue to work all available clues and sources of information."
The Corrections Department, Colorado Bureau of Investigations, 4th Judicial District Attorney's Office, Attorney General's Office, the FBI, Monument Police Department and Palmer Lake Police Department were taking part in the investigation.
Lt. Jeff Kramer of the sheriff's office said robbery did not appear to be a motive.
"There is no evidence of a home invasion," he said. "Whether he was specifically targeted or this was random, we don't know."
Gov. John Hickenlooper, in a statement sent to corrections employees said: "Last night, Tom Clements was killed at his home in Monument. I can hardly believe it, let alone write words to describe it."
During a news conference Wednesday, Hickenlooper expressed sympathy for Clements' family.
He ordered all flags be lowered to half-staff from sunrise to sunset until the day after Clements' funeral, the Post said.
Hickenlooper appointed Clements as executive director in January 2011.
Clements is survived by his wife and two daughters, Hickenlooper said.
"I am so sad. I have never worked with a better person than Tom, and I can't imagine our team without him," Hickenlooper said.