Bailey was off duty at the time of the shooting. He has just arrived home after guarding Mayor Daley's house overnight.
Officer Bailey is the third off-duty Chicago police officer to be killed in the last two months.
The shooting happened at approximately 6 a.m. Sunday in the 7400-block of South Evans in the Park Manor neighborhood.
A motorcade escorted the Bailey's body to the medical examiner's office just hours after he was shot and killed during an attempted robbery. Police say robbers tried to steal the officer's new Buick Regal that he had just purchased for himself as an early retirement gift.
Police said Sunday eveing that there was no one in cust,y and no arrests had been made. However, detectives said they continued to canvas the neighborhood where Bailey was attacked.
Investigators say they have a description of one suspect but are seeking more information.
"Words cannot express the shock, sorrow and outrage we feel at the loss of a Chicago police officer," said Beatrice Cuello, assistant superintendent for administration.
While shocked officers gathered outside Northwestern Memorial Hospital-- where an Bailey was brought after the attack-- relatives and friends rushed to the officer's home.
"Everyone is sad about this, and it's happening too frequently. The sadness is the fact that we have laws on the books that would stop a lot of this, but people have no fear of the consequences for what they do," said John Holmes, one of the officer's relatives.
Neighborhood residents tell investigators the 62-year-old police officer-- who was still in uniform -- was murdered as he returned to his home after working an overnight shift. That's when, they say, several men tried rob him and steal his car.
Bailey's son attempted to go after his father's attackers with one of his dad's guns.
"I was laying in my bed, and I heard approximately six shots," said neighbor Lillie Nix. "I laid there for a few minutes and just started praying, as I usually do, because it's not unusual to hear shots in the neighborhood."
Formerly with the fire department, the 20-year police veteran was set to retire in just a few weeks. He worked out of the police department's 1st District, where flags were flying at half-staff Sunday.
"I worked with him on the night shift," said friend Sgt. Dennis Hinkson. "It was very nice working with him for the short time that I did."
"I've seen a lot of police officers get killed in the line of duty, unfortunately. It's always more tragic when it is someone you know," Hinkson said.
Officer Bailey was assigned to security detail for Mayor Daley's home sometimes but not regularly. The mayor issued a statement Sunday that read, in part, "It's absolutely outrageous. Our prayers go out to the family of Officer Bailey. I knew him. He was a good man. He did not deserve this."
Sunday's attack marked the third shooting death of an off-duty Chicago police officer in the last two months.
"Times have come that we've got to re-adjust with how we police to bring situations like this to an end," said Mark Donahue of the Fraternal Order of Police.
For 6th Ward Ald. Fredrenna Lyle, Bailey is the second officer killed in her ward in the past two months. Lyle says she knew Bailey and his family well and that the family was involved in the CAPS programs and block clubs.
"They were doing these things. We ask people to do stay in community instead of flee. That is what they were doing," said Lyle.
Bailey reportedly was working with the other residents and the police department to have cameras installed in his neighborhood.
ABC7 is told Officer Michael Bailey was affectionately known as "Big Mike."
Last week, the Chicago Police Department and loved ones attended funeral services for Officer Thor Soderberg who was shot and killed outside a department training facility.
Officer Thomas Wortham IV also was killed in May while he was off duty. Police say he was confronted by robbers and then shot outside his parents' South Side home.
Police Supt. Jody Weis did not comment on Bailey's death Sunday. He was out of town due to a death in his family.
