Cesare Tavella, 50, was shot thrice from a close proximity on Monday evening in Dhaka's Gulshan diplomatic zone while he was jogging, police said.
The Islamic State (Daesh) in the latest edition of its online propaganda magazine warns that the terror group is preparing for fresh attacks in Bangladesh.
An elderly Italian priest was shot at on Wednesday by unidentified motorbike-borne assailants in Bangladesh, wounding him in the neck and skull.
Bangladeshi police on Monday arrested four persons for their alleged involvement in the murder of an Italian aid worker in Dhaka last month for which the dreaded Islamic State terror group claimed responsibility.