Thomas Christian Marth, 33, suffered from a gunshot wound to the head, according to officials.
Band members offered their condolences via the group's Twitter account, saying, "Our prayers are with his family.There's a light missing in Las Vegas tonight. Travel well, Tommy."
Band spokeswoman Jen Appel says Marth was not a full member of the Las Vegas-based rock band, but played saxophone on their 2006 album "Sam's Town" and their 2008 album "Day & Age."
He also played on the band's tour for "Day & Age."
The Associated Press contributed to this report.