Illinois State Police said 36-year-old Gerald Mason was found in his squad car in the northbound local lanes of I-94 shortly before 2 p.m.
He was taken to University of Chicago Hospital where he was pronounced dead at 2:16 p.m. Illinois State Police said in a statement the shooting was "officer involved," but did not say how.
Illinois State Police said there is no known threat to the public, and that the investigation into Mason's death is ongoing.
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A woman was driving on the inbound Dan Ryan around 1:45 p.m., when she saw his car smashed up against the median, went to help and found Mason inside. She used his radio to call frantically for help.
State police said Mason worked for District Chicago and was an 11-year veteran of the force. ISP said Mason was on duty when he died from a single gunshot wound to the head.
"Many people called Mason 'The Hulk,'" Illinois State Police Director Brendan Kelly said. "He was a solid and strong man. He even ripped his trooper pants during a foot pursuit because of those muscles."
Witnesses said they saw police pull Mason out of the car and take him to the hospital themselves. Other witnesses said the people on scene, whether law enforcement or not, were visibly upset.
"I noticed a few pedestrians kind of distraught about the situation, and a lot of the officers, their body language was distraught, so I'd say there was mass police, mass hysteria on the Dan Ryan," said Gregory Sherman, witness.
"I know they seem like superheroes on many days but they are not immortal, they are not indestructible," Kelly said. "They are humans with hearts, minds, and souls, as fragile as the next person. They have a breaking point."
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His mother, Linda Mason, rushed to the hospital.
"Everybody loved him. Everybody loved my son," she said. "I can't believe he's gone."
Mason said her son had always wanted to be a police officer. She said she received a call from her younger son this afternoon as social media chatter about the incident spread, and called Gerald to check on him. He didn't answer, and shortly after she got a call from the hospital.
"They asked me if I had a son," she said. "I said yes. They asked me his name, I told them 'Gerald Mason.' They told me I needed to come to the university."
By the time she got there, he had died.
"I don't know what else to say. I love him. I'm going to miss him so, so, so, so much. My heart hurts so bad," she said. "He always wanted to be a police officer because he always wanted to protect people. He wanted to make the world a better place."
Mason's body was escorted by his colleagues and Chicago police in a procession, while his family watched and then rumbled with grief.
Mason's mother said her first-born son was not married and didn't have any children. He leaves behind a big family who all will miss him dearly.