"This is still an active investigation," Kansas City Police Chief Stacey Graves said during a press briefing.
Graves said police have recovered firearms but did not disclose how many or their caliber.
"We do have three persons detained and under investigation for today's incident," she said.
Eight people have "immediately life-threatening" injuries, said Kansas City Fire Chief Ross Grundyson.
The shots were fired near Union Station.
The one fatality in the shooting is a DJ identified as Lisa Lopez-Galvan, who worked with radio station KKFI 90.1.
"It is with sincere sadness and an extremely heavy and broken heart that we let our community know that KKFI DJ Lisa Lopez, host of Taste of Tejano, lost her life today in the shooting at the KC Chiefs' rally," said the station on Facebook.
"This senseless act has taken a beautiful person from her family and this KC Community," it added.
President Joe Biden urged Congress to ban assault weapons, limit high-capacity magazines and strengthen background checks.
"Today’s events should move us, shock us, shame us into acting. What are we waiting for? What else do we need to see? How many more families need to be torn apart?" said Biden in a statement.
Police previously said they took two armed suspects into custody for further investigation.
Speaking at the briefing, Mayor Quinton Lucas said all Kansas City Chiefs players, coaches and staff are safe and accounted for after the shooting.
The NFL offered sympathy over the shooting.
"We are deeply saddened by the senseless shooting that occurred today near the end of the rally in Kansas City for the Chiefs. Our thoughts are with the victims and everyone affected," it said on X.
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